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Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach [PDF]
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
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Market efficiency in foreign exchange markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2007 We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the efficiency of various foreign exchange ...
Oh, G, Kim, S, Eom, C
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Market efficiency in agricultural futures markets [PDF]
Applied Economics, 2002 Market efficiency and unbiasedness are tested in four agricultural commodity futures markets - live cattle, hogs, corn, and soybean meal - using cointegration and error correction models with GQARCH-in-mean processes. Results indicate each market is unbiased in the long run, although cattle, hogs and corn futures markets exhibit short-run ...
McKenzie, Andrew M., Holt, Matthew T.
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A REVIEW ON THE RELATIONSHIPS AMONG ADAPTIVE MARKETS HYPOTHESIS, THE EFFICIENT MARKETS HYPOTHESIS AND BEHAVIOURAL FINANCE [PDF]
Buletin ştiinţific: Universitatea din Piteşti. Seria Ştiinţe Economice, 2023 The Efficient Markets Hypothesis (EMH), which has had a significant impact on the field of finance since its development, has triggered many subsequent researches and some of the researches have brought a critical view to the Hypothesis.
Kubra SARITEPECI +2 more
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The (in)efficiency of emerging and developed markets: An analysis from fractal theory
BAR: Brazilian Administration Review, 2023 The objective of this article is to study the behavior of the stock markets in emerging countries (BRICS) and developed countries (USA, England, Germany, and Japan), aiming to identify the evolution of their degree of efficiency between June 2007 and ...
Daniel Pereira Alves de Abreu +2 more
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Frontiers in Physics, 2020 We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of [1, 2]. In a potentially non-stationary but stationarizable environment, among a heterogenous population of agents, it is ...
Hyun-U Sohn +2 more
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Dependencia serial de largo plazo en el índice bursátil chileno, a través del coeficiente de Hurst y Hurst ajustado [PDF]
Journal of Economics Finance and Administrative Science, 2017 Diseño/metodología/enfoque - Se desarrolló un breve análisis del mercado, según la metodología de Box y Jenkings. La validez de los resultados se realizó por medio de la prueba propuesta por Brock, Dechert y Scheinkman.
Christian Acuña-Opazo +1 more
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Emerging Markets Journal, 2022 This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to ...
Hülya Yılmaz, Bülent İlhan
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THE IMPACT OF BUY – SELL RECOMMENDATIONS ON BANKS’ STOCK RETURNS
Baltic Journal of Economic Studies, 2022 The aim of this research was to investigate the impact of stock buy-sell recommendations of brokerage houses on the stock returns of banks operating in Borsa Istanbul (BIST). Accordingly, it has been attempted to assess if investors can receive abnormal
Mustafa Kevser +2 more
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INSIDERS AND MARKET EFFICIENCY [PDF]
The Journal of Finance, 1976 THE STRONG-FORM of the efficient market hypothesis assumes all available public and private information is fully relected in a security's market price. The strongform, in terms of market participants, also assumes that no individual can have higher expected trading profits than others because of monopolistic access to information.
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