Optimizing a basket against the efficient market hypothesis
AbstractThe 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.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00773315.
Date of creation: 14 Dec 2012
Date of revision:
Publication status: Published, Quantitative Finance, 2012, 13, 1, 13-23
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00773315
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
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