In the present paper, we investigate the accuracy of the tick test from an analytical perspective by providing a closed formula for the performance of the prediction algorithm. This formula takes as inputs the spread of the traded asset, the volatility of the innovations, and the probability of...

This paper employs a unique, hand-collected dataset of exchange rates for five major currencies (the lira of Barcelona, the pound sterling of England, the pond groot of Flanders, the florin of Florence and the livre tournois of France) to consider whether the law of one price and purchasing...