Why the long-term auto-correlation has not been eliminated by arbitragers : evidences from NYMEX
Year of publication: |
September 2016
|
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Authors: | Li, Daye ; Nishimura, Yusaku ; Men, Ming |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 59.2016, p. 167-178
|
Subject: | Hurst exponent | Long-term trend | Fractal Brownian motion | Momentum strategy | Arbitrage | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
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