An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

► We apply the detrended fluctuation analysis (DFA) technique. ► We test the weak-form efficient market hypothesis (EMH) concerning the Iranian Rial/US Dollar using daily Forex exchange rate time series data. ► We also divide the whole period into four subperiods. ► The Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. ► The findings suggest that profitable risk-adjusted trades could be made using past data.