Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

Operations research and data mining already have a long-established common history. Indeed, with the growing size of databases and the amount of data available, data mining has become crucial in modern science and industry. Data mining problems raise interesting challenges for several research...