Relationship between efficiency and predictability in stock price change

[1]  Walter Willinger,et al.  Stock market prices and long-range dependence , 1999, Finance Stochastics.

[2]  Woo-Sung Jung,et al.  Temporal evolution of the return distribution in the Korean stock market , 2006 .

[3]  R. Kili On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange , 2004 .

[4]  S M Pincus,et al.  Approximate entropy as a measure of system complexity. , 1991, Proceedings of the National Academy of Sciences of the United States of America.

[5]  C. Granger,et al.  Varieties of long memory models , 1996 .

[6]  R. Weron Estimating long range dependence: finite sample properties and confidence intervals , 2001, cond-mat/0103510.

[7]  B. M. Tabak,et al.  Ranking efficiency for emerging markets , 2004 .

[8]  J. Geweke,et al.  THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS , 1983 .

[9]  S. Sosvilla‐Rivero,et al.  Dancing with bulls and bears: Nearest-neighbour forecasts for the Nikkei index , 1999 .

[10]  T. D. Matteo,et al.  Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development , 2004, cond-mat/0403681.

[11]  C. Peng,et al.  Mosaic organization of DNA nucleotides. , 1994, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.

[12]  Fernando Fernández-Rodríguez,et al.  Chaotic behaviour in exchange-rate series: First results for the Peseta—U.S. dollar case , 1992 .

[13]  Luciano Zunino,et al.  Forbidden patterns, permutation entropy and stock market inefficiency , 2009 .

[14]  Gabjin Oh,et al.  Market efficiency in foreign exchange markets , 2007 .

[15]  R. Kálmán,et al.  Irregularity, volatility, risk, and financial market time series. , 2004, Proceedings of the National Academy of Sciences of the United States of America.

[16]  G. Oh,et al.  Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets , 2007, 0712.1624.

[17]  R. Baillie,et al.  Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .

[18]  G. G. Stokes "J." , 1890, The New Yale Book of Quotations.

[19]  Pilar Grau-Carles Empirical evidence of long-range correlations in stock returns , 2000 .

[20]  V. Plerou,et al.  A theory of power-law distributions in financial market fluctuations , 2003, Nature.

[21]  T. D. Matteo,et al.  Multi-scaling in finance , 2007 .

[22]  Craig Hiemstra,et al.  Another look at long memory in common stock returns , 1997 .

[23]  Power laws and long memory , 2001 .

[24]  E. Fama EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[25]  Andrew G. Glen,et al.  APPL , 2001 .

[26]  C. Granger,et al.  AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING , 1980 .

[27]  A. Lo Long-Term Memory in Stock Market Prices , 1989 .

[28]  Rosario N. Mantegna,et al.  Turbulence and financial markets , 1996, Nature.

[29]  B. Jacobsen Long term dependence in stock returns , 1996 .

[30]  Woo-Sung Jung,et al.  Volatility return intervals analysis of the Japanese market , 2007, 0709.1725.

[31]  R. Mantegna,et al.  Scaling behaviour in the dynamics of an economic index , 1995, Nature.

[32]  Benjamin Miranda Tabak,et al.  Ranking efficiency for emerging equity markets II , 2005 .

[33]  Abdol S. Soofi,et al.  Nonlinear deterministic forecasting of daily Peseta–Dollar exchange rate , 1999 .