Martingales, nonstationary increments, and the efficient market hypothesis

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 15, 2008, Pages 3916-3920

  McCauley, Joseph L ^a   Bassler, Kevin E ^a,b   Gunaratne, Gemunu H ^a,c  

^a University of Houston   (United States)

^b UNIVERSITY OF HOUSTON   (United States)

^c INSTITUTE OF FUNDAMENTAL STUDIES   (Sri Lanka)

Author keywords

Autocorrelations; Efficient market hypothesis; Fractional Brownian motion; Markov processes; Martingales; Memory; Stationary and nonstationary increments

Indexed keywords

CORRELATION METHODS; DATA REDUCTION; RANDOM PROCESSES;

EFFICIENT MARKET HYPOTHESIS; FRACTIONAL BROWNIAN MOTION; MARTINGALES; STATIONARY AND NONSTATIONARY INCREMENTS;

ELECTRONIC COMMERCE;

EID: 42649108730     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.01.049     Document Type: Article

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