Cajueiro, Daniel O.; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 627-633
This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices...