A dynamical measure is designed to assess the time-changing degree of efficiency of stock markets, under the hypothesis that the price can be modeled by the Multifractional Processes with Random Exponent (MPRE), a class of stochastic processes defined to make the fractional Brownian motion more versatile in describing nonhomogeneous dynamics. Our findings show that efficiency appears at low frequencies as a consequence of the balancement of local inefficiencies of opposite sign.

Local Estimation of Stock Market Efficiency

BIANCHI, Sergio;PANTANELLA, ALEXANDRE;PIANESE, Augusto
2012

Abstract

A dynamical measure is designed to assess the time-changing degree of efficiency of stock markets, under the hypothesis that the price can be modeled by the Multifractional Processes with Random Exponent (MPRE), a class of stochastic processes defined to make the fractional Brownian motion more versatile in describing nonhomogeneous dynamics. Our findings show that efficiency appears at low frequencies as a consequence of the balancement of local inefficiencies of opposite sign.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11580/19672
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