Article ID Journal Published Year Pages File Type
10482025 Physica A: Statistical Mechanics and its Applications 2011 10 Pages PDF
Abstract
► We study the efficiency of the Shanghai stock market based on MF-DFA. ► We decompose realized volatility into continuous sample paths and jump components. ► We analyze their long-range correlations. ► The efficiency of the Shanghai stock market improved based on Hurst exponents.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Preview
Analysis of the efficiency of the Shanghai stock market: A volatility perspective
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