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- W2217888091 abstract "Abstract The weak-form of the efficient market hypothesis (EMH) establishes that price returns behave as a pure random process and so their outcomes cannot be forecasted. The detrended fluctuation analysis (DFA) has been widely used to test the weak-form of the EMH by showing that time series of price returns are serially uncorrelated. In this case, the DFA scaling exponent exhibits deviations from the theoretical value of 0.5. This work considers the test of the EMH for DFA implementation on a sliding window, which is an approach that is intended to monitor the evolution of markets. Under these conditions, the scaling exponent exhibits important variations over the scrutinized period that can offer valuable insights in the behavior of the market provided the estimated scaling value is kept within strict statistical tests to verify the presence or not of serial correlations in the price returns. In this work, the statistical tests are based on comparing the estimated scaling exponent with the values obtained from pure Gaussian sequences with the length of the real time series. In this way, the presence of serial correlations can be guaranteed only in terms of the confidence bands of a pure Gaussian process. The crude oil (WTI) and the USA stock (DJIA) markets are used to illustrate the methodology." @default.
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- W2217888091 date "2016-02-01" @default.
- W2217888091 modified "2023-10-18" @default.
- W2217888091 title "Randomness confidence bands of fractal scaling exponents for financial price returns" @default.
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- W2217888091 doi "https://doi.org/10.1016/j.chaos.2015.11.042" @default.
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