Armin, Shmilovici; Irad, Ben-Gal - In: Studies in Nonlinear Dynamics & Econometrics 16 (2012) 5, pp. 1-33
The weak form of the Efficient Market Hypothesis (EMH) states that the current market price fully reflects the information of past prices and rules out predictions based on price data alone. In an efficient market, consistent prediction of the next outcome of a financial time series is...