In this study, features of financial returns of PSI20 index, related to market efficiency, are captured using wavelet and entropy based techniques. This characterization includes the following points. First, the detection of long memory, associated to low frequencies, and a global measure of the...

In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found...