Add to ORKGWe 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.econophysics
Most of the papers that study the distributional and fractal properties of financial instruments foc...
AbstractWe investigated the presence of, and changes in, long memory features in the returns and vol...
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, ...
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market usi...
This paper is concerned with the assertion found in the financial literature that emerging markets a...
We explore the deviations from efficiency in the returns and volatility returns of Latin-American ma...
The financial rates of return from Latin American stock and currency markets are found to be non-nor...
This paper examines the behavior of financial markets efficiency during the recent financial market ...
The increasing empirical evidence against the paradigm that stock markets behave efficient...
We investigate the relative market efficiency in financial market data, using the approximate entrop...
In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Ou...
We study the statistical physics properties of the rate of exchange of the Brazilian real against th...
Texto completo: acesso restrito. p. 1631–1637In this paper we analyse price fluctuations with the ai...
I propose a novel structural setting to investigate the dynamics of information processing on equity...
Over the last century a variety of methods have been used for forecasting financial time data series...
Most of the papers that study the distributional and fractal properties of financial instruments foc...
AbstractWe investigated the presence of, and changes in, long memory features in the returns and vol...
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, ...
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market usi...
This paper is concerned with the assertion found in the financial literature that emerging markets a...
We explore the deviations from efficiency in the returns and volatility returns of Latin-American ma...
The financial rates of return from Latin American stock and currency markets are found to be non-nor...
This paper examines the behavior of financial markets efficiency during the recent financial market ...
The increasing empirical evidence against the paradigm that stock markets behave efficient...
We investigate the relative market efficiency in financial market data, using the approximate entrop...
In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Ou...
We study the statistical physics properties of the rate of exchange of the Brazilian real against th...
Texto completo: acesso restrito. p. 1631–1637In this paper we analyse price fluctuations with the ai...
I propose a novel structural setting to investigate the dynamics of information processing on equity...
Over the last century a variety of methods have been used for forecasting financial time data series...
Most of the papers that study the distributional and fractal properties of financial instruments foc...
AbstractWe investigated the presence of, and changes in, long memory features in the returns and vol...
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, ...