Price changes of the Chinese yuan/US dollar rate are found to display a Sierpinski triangle in an Iterative Function System clumpiness test. This fractal structure commonly emerges in “the chaos game”, where randomness coexists with deterministic rules. We show that a threshold model with...

We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted...

The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown to be described by a Levy stable stochastic process for the modal region of the distribution. Data refer to daily records for the 30-year period 1968-1998. The truncated Levy process is characterized by a...

We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted...

Price changes of the Chinese yuan/US dollar rate are found to display a Sierpinski triangle in an Iterative Function System clumpiness test. This fractal structure commonly emerges in “the chaos gameâ€, where randomness coexists with deterministic rules. We show that a threshold model...

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank...

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank...

The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown to be described by a Levy stable stochastic process for the modal region of the distribution. Data refer to daily records for the 30-year period 1968-1998. The truncated Levy process is characterized by a...

We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash†of May 6, 2010.

Applying a standard questionnaire (Lichtenstein and Fischhoff 1977) to a sample of 44 professional investors, we sought for explicit correlations between selected biological characteristics of the investors and the cognitive bias known as overconfidence. We found that both male and female...