Market efficiency , roughness and long memory in the PSI 20 index returns : wavelet and entropy analysis

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 time series: the Hurst exponent estimated by several methods… CONTINUE READING