dc.contributor.author |
Vo, Long H. |
|
dc.contributor.author |
Roberts, Leigh |
|
dc.date.accessioned |
2014-05-16T03:18:47Z |
|
dc.date.accessioned |
2022-07-06T22:21:58Z |
|
dc.date.available |
2014-05-16T03:18:47Z |
|
dc.date.available |
2022-07-06T22:21:58Z |
|
dc.date.copyright |
2014 |
|
dc.date.issued |
2014 |
|
dc.identifier.uri |
https://ir.wgtn.ac.nz/handle/123456789/18828 |
|
dc.description.abstract |
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that all market participants can promptly receive and rationally react to the relevant information affecting the prices, might be (approximately) true for a long time horizon, but not for a short time horizon. By examining local long-range dependence (measured by the rolling Rescaled Range estimates of the Hurst index) of an empirical example, the local market inefficiency is inferred, and excess profitability of a simple trend-following trading strategies implies the potential for constructing a more profitable trading system by incorporating the former into the latter. |
en_NZ |
dc.format |
pdf |
en_NZ |
dc.language.iso |
en_NZ |
|
dc.publisher |
Te Herenga Waka—Victoria University of Wellington |
en_NZ |
dc.relation.ispartofseries |
SEF Working paper; 05/2014 |
en_NZ |
dc.subject |
Hurst index |
en_NZ |
dc.subject |
Long memory |
en_NZ |
dc.subject |
Market efficiency |
en_NZ |
dc.subject |
Rescaled range analysis |
en_NZ |
dc.subject |
Trading system |
en_NZ |
dc.subject |
High-frequency trading |
en_NZ |
dc.title |
On long memory behaviour and predictability of financial markets |
en_NZ |
dc.type |
Text |
en_NZ |
vuwschema.contributor.unit |
School of Economics and Finance |
en_NZ |
vuwschema.subject.anzsrcfor |
140207 Financial Economics |
en_NZ |
vuwschema.type.vuw |
Working or Occasional Paper |
en_NZ |
vuwschema.subject.anzsrcforV2 |
380107 Financial economics |
en_NZ |
dc.rights.rightsholder |
www.victoria.ac.nz/sef/research/sef.working-papers |
en_NZ |