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Financial Markets

  • William S. Mallios
Chapter

Abstract

The modeling objective is to forecast a currency’s short term direction based on past, publicly available data. (“Short term” will be limited to a month or less.) Successful modeling—defined in terms of predictive validity—would invalidate the efficient market hypothesis (EMH) under which a current exchange rate fully and instantaneously reflects all relevant information. “Whatever information is received that alters the market’s view of the likely future of an asset, the current price of that asset immediately reflects that alteration.” 1 Successful modeling based solely on public information would also rule out the need for insider information.a,b

Keywords

Exchange Rate Stock Issue Wall Street Journal Statistical Shock Closing Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2000

Authors and Affiliations

  • William S. Mallios
    • 1
  1. 1.Craig School of BusinessCalifornia State UniversityFresnoUSA

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