It has been argued that research on market efficiency should be evaluated in terms of whether it improves our ability to predict the time series of security returns. Much recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial...

A lot of recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial implications of such a finding for market efficiency and for martingale models of asset prices used in financial economics and technical trading rules used for...