It seems reasonable to expect financial market efficiency to be related to the economic development level. We study a 16year sample, covering 22 countries. The Hurst–Mandelbrot–Wallis rescaled range is our efficiency measure, which we apply to returns and volatility. We find strong evidence...

The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long- term dependence is measured by monofractal (global) Hurst exponents from wavelet...

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory in the financial markets different from the...

In this article we show that usage of a mobile phone, i.e. daily series of number of calls made by a customer, exhibits long memory. We use a sample of 4502 postpaid users from a Polish mobile operator and study their two-year billing history. We estimate Hurst exponent by nine estimators:...

We report an empirical study of Tehran price index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (R/S), modified rescaled range analysis (Lo's method), detrended fluctuation analysis (DFA) and generalized Hurst exponents analysis. Based on numerical...

Rescaled range and power spectral density analysis are applied to examine a diverse set of macromonetary data for fractal character and stochastic dependence. Fractal statistics are used to evaluate two competing models of the business cycle, Austrian business cycle theory and real business...

Geometric method-based procedures, which will be called GM algorithms herein, were introduced in [M.A. Sánchez Granero, J.E. Trinidad Segovia, J. García Pérez, Some comments on Hurst exponent and the long memory processes on capital markets, Phys. A 387 (2008) 5543-5551], to efficiently...

Geometric method-based procedures, which we will call GM algorithms hereafter, were introduced in M.A. Sánchez-Granero, J.E. Trinidad Segovia, J. García Pérez, Some comments on Hurst exponent and the long memory processes on capital markets, Phys. A 387 (2008) 5543–5551, to calculate the...

The analysis of long memory processes in capital markets has been one of the topics in finance, since the existence of the market memory could implicate the rejection of an efficient market hypothesis. The study of these processes in finance is realized through Hurst exponent and the most...

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets...