Results 261 to 270 of about 294,605 (321)
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, 2020
I propose a framework motivated by the Adaptive Markets Hypothesis (AMH) to analyze the relevance of a specific information source for the trading of a given security.
George Chalamandaris
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I propose a framework motivated by the Adaptive Markets Hypothesis (AMH) to analyze the relevance of a specific information source for the trading of a given security.
George Chalamandaris
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Adaptive market hypothesis: evidence from the REIT market
Applied Financial Economics, 2013We tests two important implications for Real Estate Investment Trust (REIT) market efficiency from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none condition but is a characteristic that varies continuously over time; second, market efficiency is dependent upon market conditions. By using the automatic variance
Jian Zhou, Jin Man Lee
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Applied Economics, 2023
The study applies the effective transfer entropy (ETE) and Renyi transfer entropy (RTE) to quantify the information flow between government bonds and equity market of G7 countries. The magnitude and direction of information flow between these two markets
A. Tiwari +3 more
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The study applies the effective transfer entropy (ETE) and Renyi transfer entropy (RTE) to quantify the information flow between government bonds and equity market of G7 countries. The magnitude and direction of information flow between these two markets
A. Tiwari +3 more
semanticscholar +1 more source
Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 2022
This paper analyses the effects known as the day of the week and the month of the year in the cryptocurrency markets. The closing values of eleven cryptocurrencies have been considered.
Carmen López-Martín
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This paper analyses the effects known as the day of the week and the month of the year in the cryptocurrency markets. The closing values of eleven cryptocurrencies have been considered.
Carmen López-Martín
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Adaptive market hypothesis and investor sentiments: global evidence
Managerial Finance, 2020PurposeThe purpose of this study is to investigate the adaptive market hypothesis (AMH) for 21 major global market indices for the period 1998–2018. These market indices cover the 16 largest global financial markets.Design/methodology/approachQuantile-regression methodology is employed to examine the market efficiency of a large number of financial ...
Abhinava Tripathi +2 more
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The Adaptive Markets Hypothesis
Abstract The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changingAndrew W. Lo, Ruixun Zhang
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Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets [PDF]
The Review of Finance and Banking, 2009 In this paper we investigate the profitability of the moving average strategy on six Asian capital markets considering the episodic character of linear and/or nonlinear dependencies, the period under study being 1997-2008. For each market, the most profitable strategy from 15000 alternatives is selected.
Alexandru Todea +2 more
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The adaptive market hypothesis in the high frequency cryptocurrency market
International Review of Financial Analysis, 2019This paper investigates the adaptive market hypothesis (AMH) with respect to the high frequency markets of the two largest cryptocurrencies — Bitcoin and Ethereum, versus the Euro and US Dollar. Our findings are consistent with the AMH and show that the efficiency of the markets varies over time.
Chu, Jeffrey +2 more
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