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Informational inefficiency of Bitcoin : a study based on high-frequency data

Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353

Persistent link: https://www.econbiz.de/10012135746

Effizienz in Aktienmärkten : Bewertung von Information unter Berücksichtigung von Wechselwirkungen in Multiagentensystemen

Rothenstein, Roland - 2004

Persistent link: https://www.econbiz.de/10002230490

Market efficiency of commodity derivatives with reference to nonagricultural commodities

Kantamaneni, Hema Divya; Asi, Vasudeva Reddy - In: Asia Pacific financial markets 30 (2023) 1, pp. 247-258

Persistent link: https://www.econbiz.de/10014251561

Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642