Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8253892 | Chaos, Solitons & Fractals | 2018 | 12 Pages |
Abstract
The increasing empirical evidence against the paradigm that stock markets behave efficiently suggests to relax the too restrictive dichotomy between efficient and inefficient markets. Starting from the idea that financial prices evolve in a continuum of equilibria and disequilibria, we use the Hurst-Hölder exponent to quantify the pointwise degree of (in)efficiency and introduce the notion of α-efficiency. We then define and study the properties of two functions which are used to build indicators providing timely information about the market efficiency. We apply our tools to the analysis of four stock indexes representative of U.S., Europe and Asia.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Sergio Bianchi, Augusto Pianese,