文章基本信息

标题：Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market
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作者：Sergio Da Silva ; Annibal Figueiredo ; Iram Gleria 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2007
卷号：7
出版社：Economics Bulletin
摘要：We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted since the crisis of 1999. We also find power laws (Mantegna and Stanley 2000) in means, volatilities, the Hurst exponents, autocorrelation times, and complexity indices of returns for varying time lags.
关键词：econophysics