The long memory and the transaction cost in financial markets

@inproceedings{Li2016TheLM,
  title={The long memory and the transaction cost in financial markets},
  author={Daye Li and Yusaku F. Nishimura and Ming Xin Men},
  year={2016}
}
In the present work, we investigate the fractal dimensions of 30 important stock markets from 2006 to 2013; the analysis indicates that the Hurst exponent of emerging markets shifts significantly away from the standard Brownian motion. We propose a model based on the Hurst exponent to explore the considerable profits from the predictable long-term memory. We take the transaction cost into account to justify why the market inefficiency has not been arbitraged away in the majority of cases. The… CONTINUE READING