| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482068 | Physica A: Statistical Mechanics and its Applications | 2013 | 7 Pages |
Abstract
⺠We use a method to measure the speed of convergence to market efficiency. ⺠The Hurst exponent is estimated for different time horizons using DFA. ⺠Up to 15 min, prices were inconsistent with a geometric Brownian motion. ⺠Trade opening and closing was hardly consistent with efficiency.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Juan C. Reboredo, Miguel A. Rivera-Castro, José G.V. Miranda, Raquel GarcÃa-Rubio,