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Martingales, detrending data, and the efficient market hypothesis

McCauley, Joseph L.
; 
Bassler, Kevin E.
; 
Gunaratne, Gemunu H.
Identifiers
http://hdl.handle.net/10379/12729
 https://doi.org/10.13025/27876
Publication Date
2008-01-01
Keywords
martingales, markov processes, detrending, memory, stationary and non-stationary increments, correlations, efficient market hypothesis, continuous-time finance, fractional calculus, hurst exponents, equations, evolution
Type
Article
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Citation
McCauley, Joseph L. Bassler, Kevin E.; Gunaratne, Gemunu H. (2008). Martingales, detrending data, and the efficient market hypothesis. Physica A: Statistical Mechanics and its Applications 387 (1), 202-216
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Publisher
Elsevier BV
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Attribution-NonCommercial-NoDerivs 3.0 Ireland
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Externally hosted open access publications with University of Galway authors (2)