| Journal: | Revista mexicana de física |
| Database: | PERIÓDICA |
| System number: | 000447371 |
| ISSN: | 0035-001X |
| Authors: | López, M1 Mansilla, R2 |
| Institutions: | 1Universidad Nacional Autónoma de México, Facultad de Ciencias, Ciudad de México. México 2Universidad Nacional Autónoma de México, Centro de Investigaciones Interdisciplinarias en Ciencias y Humanidades, Ciudad de México. México |
| Year: | 2021 |
| Season: | Nov-Dic |
| Volumen: | 67 |
| Number: | 6 |
| Country: | México |
| Language: | Inglés |
| Document type: | Artículo |
| Approach: | Analítico, teórico |
| English abstract | In this paper, we analyze the Efficient Market Hypothesis for automated high-frequency stock markets. Using the Hurst exponent as a measure of efficiency, we show that the time series of high-frequency stock prices do not follow random walks, rejecting then (as we discuss in the text) the EMH for these markets |
| Disciplines: | Física y astronomía |
| Keyword: | Física, Comercio electrónico, Exponente de Hurst, Mercados digitales |
| Keyword: | Physics, Electronic commerce, Hurst exponent, Digital markets |
| Full text: | Texto completo (Ver HTML) Texto completo (Ver PDF) |
