Martingales, Detrending Data, and the Efficient Market Hypothesis
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References listed on IDEAS
- Joseph L. McCauley, 2007. "Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory," Papers cond-mat/0702517, arXiv.org, revised Feb 2007.
- McCauley, Joseph L., 2007. "Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory," MPRA Paper 2128, University Library of Munich, Germany.
- Skjeltorp, Johannes A, 2000. "Scaling in the Norwegian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 486-528.
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Cited by:
- McCauley, Joseph L., 2007. "A comment on the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker–Planck equations” by T.D. Frank," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(2), pages 445-452.
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More about this item
Keywords
Martingales; Markov processes; detrending; memory; stationary and nonstationary increments; correlations; efficient market hypothesis;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G0 - Financial Economics - - General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2007-03-17 (Econometric Time Series)
Statistics
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