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 f inancial 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.

Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets / Bianchi, Sergio; Pianese, Augusto. - In: CHAOS, SOLITONS AND FRACTALS. - ISSN 0960-0779. - 109:(2018), pp. 64-75. [10.1016/j.chaos.2018.02.015]

Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets

Bianchi, Sergio
;
2018

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 f inancial 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.
2018
Efficient market hypothesis; Hurst–Hölder pointwise regularity exponents; Multifractional Brownian motion
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Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets / Bianchi, Sergio; Pianese, Augusto. - In: CHAOS, SOLITONS AND FRACTALS. - ISSN 0960-0779. - 109:(2018), pp. 64-75. [10.1016/j.chaos.2018.02.015]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1369425
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