| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480752 | Physica A: Statistical Mechanics and its Applications | 2012 | 10 Pages |
Abstract
⺠We apply the detrended fluctuation analysis (DFA) technique. ⺠We test the weak-form efficient market hypothesis (EMH) concerning the Iranian Rial/US Dollar using daily Forex exchange rate time series data. ⺠We also divide the whole period into four subperiods. ⺠The Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. ⺠The findings suggest that profitable risk-adjusted trades could be made using past data.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Esmaiel Abounoori, Mahdi Shahrazi, Saeed Rasekhi,