Martingales, detrending data, and the efficient market hypothesis
Year of publication: |
2008
|
---|---|
Authors: | McCauley, Joseph L. ; Bassler, Kevin E. ; Gunaratne, Gemunu H. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 1, p. 202-216
|
Publisher: |
Elsevier |
Subject: | Martingales | Markov processes | Detrending | Memory | Stationary and non-stationary increments | Correlations | Efficient market hypothesis |
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