Optimizing a basket against the efficient market hypothesis

The possibility that the collective dynamics of a set of stocks could lead to a speci c basket violating the e cient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are of the order of tens of seconds. Moreover, we show that this situation is persistent enough to allow some kind of forecasting.

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Year of publication:	2012-12-14
Authors:	Abergel, Frédéric ; Politi, Mauro
Institutions:	HAL

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00773315 Published, Quantitative Finance, 2012, 13, 1, 13-23
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898610