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Optimizing a basket against the efficient market hypothesis

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  • Frédéric Abergel

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris)

  • Mauro Politi

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris)

Abstract

The possibility that the collective dynamics of a set of stocks could lead to a speci c basket violating the e cient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are of the order of tens of seconds. Moreover, we show that this situation is persistent enough to allow some kind of forecasting.

Suggested Citation

  • Frédéric Abergel & Mauro Politi, 2012. "Optimizing a basket against the efficient market hypothesis," Post-Print hal-00773315, HAL.
    • Handle: RePEc:hal:journl:hal-00773315
    DOI: 10.1080/14697688.2012.723821
    Note: View the original document on HAL open archive server: https://hal.science/hal-00773315
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