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Defining efficiency in heterogeneous markets

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Author Info

  • M. Dacorogna
  • U. Mller
  • R. Olsen
  • O. Pictet

Abstract

Michel Dacorogna, Ulrich Muller, Richard Olsen and Olivier Pictet offer a new definition of efficient markets that takes into account heterogeneity and varying time scales.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/713665666
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Quantitative Finance.

Volume (Year): 1 (2001)
Issue (Month): 2 ()
Pages: 198-201
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Handle: RePEc:taf:quantf:v:1:y:2001:i:2:p:198-201

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For corrections or technical questions regarding this item, or to correct its listing, contact: (Michael McNulty).

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Cited by:
  1. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2004. "Using the Scaling Analysis to Characterize Financial Markets," Finance 0402014, EconWPA.
  2. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, EconWPA.

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