Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market

We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted since the crisis of 1999. We also find power laws (Mantegna and Stanley 2000) in means, volatilities, the Hurst exponents, autocorrelation times, and complexity indices of returns for varying time lags. We are grateful to an anonymous referee for useful comments. Sergio Da Silva, Annibal Figueiredo, and Iram Gleria acknowledge financial support from the Brazilian agencies CNPq and CAPES-Procad