The consequences of the Gaussian hypothesis, which leads to the Efficient Market Hypothesis, are investigated in the framework of time series analysis in economics. The validity of an alternative model, based on Mandelbrot theory, is discussed using the Rescaled Range technique. Hurst exponents related to the underlying fractional Brownian motion are evaluated.
Guiducci, M.F., Loffredo, M.I. (1997). Time series analysis: Mandelbrot theory at work in Economics. In Innovations in Mathematics - Proceedings of the second International Mathematica Symposium (pp.193-198). Computationa Mechanics Publications.
Time series analysis: Mandelbrot theory at work in Economics
LOFFREDO M. I.
1997-01-01
Abstract
The consequences of the Gaussian hypothesis, which leads to the Efficient Market Hypothesis, are investigated in the framework of time series analysis in economics. The validity of an alternative model, based on Mandelbrot theory, is discussed using the Rescaled Range technique. Hurst exponents related to the underlying fractional Brownian motion are evaluated.
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https://hdl.handle.net/11365/42962
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