Martingales, Detrending Data, and the Efficient Market Hypothesis
Year of publication: |
2007-02
|
---|---|
Authors: | McCauley, Joseph L. ; Bassler, Kevin E. ; Gunaratne, Gemunu H. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Martingales | Markov processes | detrending | memory | stationary and nonstationary increments | correlations | efficient market hypothesis |
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