Silva, Sergio Da; Figueiredo, Annibal; Gleria, Iram; … - In: Economics Bulletin 7 (2007) 1, pp. 1-11
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...