ABSTRACT
We use the context tree algorithm of Rissanen, for compression and prediction of time series. The weak form of the EMH is tested for 12 pairs of international intra-day currency exchange rates for one year series of 1,5,10,15,20,25 and 30 minutes. Statistically significant compression is detected in all the time-series, yet, the Forex market turns out to be efficient most of the time, and the short periods of inefficiency are not sufficient generating excess profit.
