This paper has been announced in the following NEP Reports:

• NEP-ETS-2003-09-14 (Econometric Time Series)
• NEP-IFN-2003-09-14 (International Finance)
• NEP-SEA-2003-09-14 (South East Asia)

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1. Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computational Economics, Springer, vol. 33(2), pages 131-154, March. [Downloadable!] (restricted)
   Other versions:
   • Y. Kahiri & A. Shmilovici & S. Hauser, 2006. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computing in Economics and Finance 2006 256, Society for Computational Economics.