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We investigate the predictability of G10 currencies with respect to lagged currency returns from perspective a U.S. investor, using maximally predictable portfolio (MPP) approach Lo and MacKinlay (1997). show that, out-of-sample, MPP yields higher Sharpe ratio, cumulative return lower maximum drawdown than both naïve equal-weighted an momentum trading strategies, that mean–variance investor wou...

We introduce a new class of nondeterministic semiautomata: A nondeterministic semiautomaton S is predictable if there exists k ≥ 0 such that, if S knows the current input a and the next k inputs, the transition under a can be made deterministically. Nondeterminism may occur only when the length of the unread input is ≤ k. We develop a theory of predictable semiautomata. We show that, if a semia...