Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX

@inproceedings{Li2016WhyTL,
  title={Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX},
  author={Daye Li and Yusaku F. Nishimura and Ming Xin Men},
  year={2016}
}
The efficient market hypothesis claims that market prices follow the random walk and that any predictable trend will be eliminated by arbitragers in a short period of time. However, the fractal market hypothesis disagrees, asserting that long-term memory can persist in the market. To understand why this conflict exists, we propose a method to explore the long-term market trend using the local Hurst exponent and seek to obtain the extra yield. Performance is evaluated by using both a simulation… CONTINUE READING
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