Reboredo, Juan C.; Rivera-Castro, Miguel A.; Miranda, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1631-1637
In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a Hurst exponent of 0.5. The Hurst exponent is estimated for different time...
