Martingales, the efficient market hypothesis, and spurious stylized facts
Year of publication: |
2007-10-12
|
---|---|
Authors: | McCauley, Joseph L. ; Bassler, Kevin E. ; Gunaratne, Gemunu h. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Nonstationary increments | martingales | fat tails | Hurst exponent scaling |
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