Juan Evangelista Trinidad-Segovia

Personal Details

First Name:	Juan
Middle Name:	Evangelista
Last Name:	Trinidad-Segovia
Suffix:
RePEc Short-ID:	ptr47
	+34610240563

Affiliation

Departamento de Dirección y Gestión de Empresas
Facultad de Ciencias Económicas y Empresariales
Universidad de Almería

Almería, Spain
http://www.ual.es/Universidad/Depar/DirEmpre/
RePEc:edi:dduales (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Puertas, Antonio M. & Clara-Rahola, Joaquim & Sánchez-Granero, Miguel A. & de las Nieves, F. Javier & Trinidad-Segovia, Juan E., 2023. "A new look at financial markets efficiency from linear response theory," Finance Research Letters, Elsevier, vol. 51(C).

   Cited by:

   1. Askari, Abolfazl & Hajizadeh, Ehsan, 2024. "Exploring market efficiency levels: A powerful approach based on a gamma distribution," Finance Research Letters, Elsevier, vol. 66(C).
   2. Oliveira, Alexandre Silva de & Ceretta, Paulo Sergio & Albrecht, Peter, 2023. "Performance comparison of multifractal techniques and artificial neural networks in the construction of investment portfolios," Finance Research Letters, Elsevier, vol. 55(PA).

2. E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "Correction: The impact of regulation-based constraints on portfolio selection: The Spanish case," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-1, December.

   Cited by:

   1. Amedeo Argentiero & Giovanni Bonaccolto & Giulio Pedrini, 2024. "Green finance: Evidence from large portfolios and networks during financial crises and recessions," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(3), pages 2474-2495, May.

3. E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "The impact of regulation-based constraints on portfolio selection: The Spanish case," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-14, December.

   Cited by:

   1. Amedeo Argentiero & Giovanni Bonaccolto & Giulio Pedrini, 2024. "Green finance: Evidence from large portfolios and networks during financial crises and recessions," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(3), pages 2474-2495, May.

4. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.

   Cited by:

   1. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
   2. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
   3. Foued Sa^adaoui, 2023. "Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning," Papers 2304.08440, arXiv.org.
   4. Saâdaoui, Foued, 2023. "Skewed multifractal scaling of stock markets during the COVID-19 pandemic," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
   5. Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2023. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Papers 2311.15635, arXiv.org, revised Dec 2024.

5. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.

   Cited by:

   1. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.

6. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.

   Cited by:

   1. Ho, Kung-Cheng & Yao, Chia-ling & Zhao, Chenfang & Pan, Zikui, 2022. "Modern health pandemic crises and stock price crash risk," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 448-463.

7. Sánchez-Granero, M.A. & Balladares, K.A. & Ramos-Requena, J.P. & Trinidad-Segovia, J.E., 2020. "Testing the efficient market hypothesis in Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).

   Cited by:

   1. Harjito, Dwipraptono Agus & Alam, Md. Mahmudul & Dewi, Rani Ayu Kusuma, 2021. "Impacts of International Sports Events on the Stock Market: Evidence from the Announcement of the 18th Asian Games and 30th Southeast Asian Games," OSF Preprints 4dgne, Center for Open Science.
      • Dwipraptono Agus Harjito & Md. Mahmudul Alam & Rani Ayu Kusuma Dewi, 2021. "Impacts of International Sports Events on the Stock Market: Evidence from the Announcement of the 18th Asian Games and 30th Southeast Asian Games," Post-Print hal-03538176, HAL.
   2. Anghel, Dan Gabriel, 2021. "Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models," Journal of Banking & Finance, Elsevier, vol. 126(C).
   3. dos Santos Maciel, Leandro, 2023. "Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability," Global Finance Journal, Elsevier, vol. 58(C).
   4. Mensi, Walid & Lee, Yun-Jung & Vinh Vo, Xuan & Yoon, Seong-Min, 2021. "Does oil price variability affect the long memory and weak form efficiency of stock markets in top oil producers and oil Consumers? Evidence from an asymmetric MF-DFA approach," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
   5. Nuray Tosunoğlu & Hilal Abacı & Gizem Ateş & Neslihan Saygılı Akkaya, 2023. "Artificial neural network analysis of the day of the week anomaly in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
   6. Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
   7. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
   8. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
   9. José A. Roldán-Casas & Mª B. García-Moreno García, 2022. "A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1289-1327, December.
   10. Luiz G. A. Alves & Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2020. "Collective dynamics of stock market efficiency," Papers 2011.14809, arXiv.org.
   11. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
   12. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
   13. Lucas Schneider & Johannes Stübinger, 2020. "Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns," Mathematics, MDPI, vol. 8(9), pages 1-22, September.
   14. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Some Notes on the Formation of a Pair in Pairs Trading," Mathematics, MDPI, vol. 8(3), pages 1-17, March.

8. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Some Notes on the Formation of a Pair in Pairs Trading," Mathematics, MDPI, vol. 8(3), pages 1-17, March.

   Cited by:

   1. He, Fuli & Yarahmadi, Ali & Soleymani, Fazlollah, 2024. "Investigation of multivariate pairs trading under copula approach with mixture distribution," Applied Mathematics and Computation, Elsevier, vol. 472(C).
   2. Mar Grande & Florentino Borondo & Juan Carlos Losada & Javier Borondo, 2024. "Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study," Mathematics, MDPI, vol. 12(18), pages 1-14, September.
   3. Lucas Schneider & Johannes Stübinger, 2020. "Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns," Mathematics, MDPI, vol. 8(9), pages 1-22, September.

9. Estefanía Montoya-Cruz & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Exploring Arbitrage Strategies in Corporate Social Responsibility Companies," Sustainability, MDPI, vol. 12(16), pages 1-17, August.

   Cited by:

   1. Karime Chahuán-Jiménez, 2020. "Correlation between the DJSI Chile and the Financial Indices of Chilean Companies," IJFS, MDPI, vol. 8(4), pages 1-14, November.
   2. Pablo Vilas & Laura Andreu & José Luis Sarto, 2021. "The Convergence between Sustainability and Conventional Stock Indices. Are We on the Right Track?," Sustainability, MDPI, vol. 13(14), pages 1-11, July.

10. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).

    Cited by:

    1. Barreto, Ikaro Daniel de Carvalho & Dore, Luiz Henrique & Stosic, Tatijana & Stosic, Borko D., 2021. "Extending DFA-based multiple linear regression inference: Application to acoustic impedance models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).

11. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

    Cited by:

    1. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
    2. Usha Rekha Chinthapalli, 2021. "A Comparative Analysis on Probability of Volatility Clusters on Cryptocurrencies, and FOREX Currencies," JRFM, MDPI, vol. 14(7), pages 1-23, July.
    3. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
    4. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
    5. Viviane Naimy & José-María Montero & Rim El Khoury & Nisrine Maalouf, 2020. "Market Volatility of the Three Most Powerful Military Countries during Their Intervention in the Syrian War," Mathematics, MDPI, vol. 8(5), pages 1-21, May.
    6. Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-21, February.

12. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.

    Cited by:

    1. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
       • Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective," Working Papers 2020106, University of Pretoria, Department of Economics.
    2. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    3. Miklesh Prasad Yadav & Atul Kumar & Vidhi Tyagi, 2023. "Adaptive Market Hypothesis and Cointegration: An Evidence of the Cryptocurrency Market," Contemporary Studies in Economic and Financial Analysis, in: Smart Analytics, Artificial Intelligence and Sustainable Performance Management in a Global Digitalised Economy, volume 110, pages 27-43, Emerald Group Publishing Limited.
    4. Marc Gronwald & Sania Wadud & Kingsley Dogah, 2024. "Informational Efficiency of World Oil Markets: One Great Pool, but with Varying Depth," CESifo Working Paper Series 11017, CESifo.
    5. Qadan, Mahmoud & Aharon, David Y. & Eichel, Ron, 2022. "Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PA).
    6. Cornelia Pop & Ingrid-Emanuela Colonescu, 2021. "Cryptocurrencies’ Puzzle," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    7. Ponta, Linda & Murialdo, Pietro & Carbone, Anna, 2021. "Information measure for long-range correlated time series: Quantifying horizon dependence in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    8. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    9. Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
    10. Giorgio Canarella & Luis A. Gil‐Alana & Rangan Gupta & Stephen M. Miller, 2022. "The behaviour of real interest rates: New evidence from a 'suprasecular' perspective," International Finance, Wiley Blackwell, vol. 25(1), pages 46-64, April.
    11. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2021. "Inflation and Bitcoin: A descriptive time-series analysis," Economics Letters, Elsevier, vol. 203(C).
    12. Marc Gronwald & Sania Wadud & Kingsley Dogah, 2024. "Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence," CESifo Working Paper Series 10995, CESifo.
    13. Puertas, Antonio M. & Clara-Rahola, Joaquim & Sánchez-Granero, Miguel A. & de las Nieves, F. Javier & Trinidad-Segovia, Juan E., 2023. "A new look at financial markets efficiency from linear response theory," Finance Research Letters, Elsevier, vol. 51(C).
    14. Sun, Wei & Dedahanov, Alisher Tohirovich & Shin, Ho Young & Li, Wei Ping, 2021. "Factors affecting institutional investors to add crypto-currency to asset portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

13. M A Sánchez-Granero & J E Trinidad-Segovia & J Clara-Rahola & A M Puertas & F J De las Nieves, 2017. "A model for foreign exchange markets based on glassy Brownian systems," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-22, December.

    Cited by:

    1. María Nieves López-García & Miguel Angel Sánchez-Granero & Juan Evangelista Trinidad-Segovia & Antonio Manuel Puertas & Francisco Javier De las Nieves, 2021. "Volatility Co-Movement in Stock Markets," Mathematics, MDPI, vol. 9(6), pages 1-19, March.

14. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.

    Cited by:

    1. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
    2. Lifeng Wu & Xiaohui Gao & Yan Chen, 2019. "Memory Property of Grey Accumulation Generation Sequence," Complexity, Hindawi, vol. 2019, pages 1-10, July.
    3. Bikramaditya Ghosh & Spyros Papathanasiou & Dimitrios Kenourgios, 2022. "Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads," Sustainability, MDPI, vol. 14(21), pages 1-10, October.
    4. Vladimír Holý & Michal Černý, 2022. "Bertram’s pairs trading strategy with bounded risk," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 667-682, June.
    5. Gupta, Kartikay & Chatterjee, Niladri, 2020. "Selecting stock pairs for pairs trading while incorporating lead–lag relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    6. Sabino da Silva, Fernando A.B. & Ziegelmann, Flavio A. & Caldeira, João F., 2023. "A pairs trading strategy based on mixed copulas," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 16-34.
    7. Poitras, Geoffrey, 2018. "The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 89-98.
    8. Karen Balladares & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Angel Sánchez-Granero, 2021. "Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency," Mathematics, MDPI, vol. 9(2), pages 1-20, January.
    9. Xavier Brouty & Matthieu Garcin & Hugo Roccaro, 2024. "Estimation of bid-ask spreads in the presence of serial dependence," Papers 2407.17401, arXiv.org, revised Jan 2025.
    10. Po-Keng Cheng, 2020. "Listen to the Signals from an Interactive Agent-Based Model," Working Papers hal-02982908, HAL.
    11. Matthieu Garcin, 2019. "Hurst Exponents And Delampertized Fractional Brownian Motions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-26, August.
    12. Samuel T. Ogunjo, 2023. "The impact of the 2007–2008 global financial crisis on the multifractality of the Nigerian Stock Exchange," SN Business & Economics, Springer, vol. 3(1), pages 1-17, January.
    13. Bui, Quynh & Ślepaczuk, Robert, 2022. "Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
    14. Lotfalinezhad, Hamze & Maleki, Ali, 2020. "TTA, a new approach to estimate Hurst exponent with less estimation error and computational time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    15. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "An Alternative Approach to Measure Co-Movement between Two Time Series," Mathematics, MDPI, vol. 8(2), pages 1-24, February.
    16. Mar Grande & Florentino Borondo & Juan Carlos Losada & Javier Borondo, 2024. "Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study," Mathematics, MDPI, vol. 12(18), pages 1-14, September.
    17. Estefanía Montoya-Cruz & José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Exploring Arbitrage Strategies in Corporate Social Responsibility Companies," Sustainability, MDPI, vol. 12(16), pages 1-17, August.
    18. Gómez-Águila, A. & Sánchez-Granero, M.A., 2021. "A theoretical framework for the TTA algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    19. Matthieu Garcin, 2018. "Hurst exponents and delampertized fractional Brownian motions," Working Papers hal-01919754, HAL.
    20. Lucas Schneider & Johannes Stübinger, 2020. "Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns," Mathematics, MDPI, vol. 8(9), pages 1-22, September.

15. Miguel Ángel Sánchez & Juan E Trinidad & José García & Manuel Fernández, 2015. "The Effect of the Underlying Distribution in Hurst Exponent Estimation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-17, May.

    Cited by:

    1. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
    2. Sánchez-Granero, M.A. & Balladares, K.A. & Ramos-Requena, J.P. & Trinidad-Segovia, J.E., 2020. "Testing the efficient market hypothesis in Latin American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
    4. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    5. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "An Alternative Approach to Measure Co-Movement between Two Time Series," Mathematics, MDPI, vol. 8(2), pages 1-24, February.
    6. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    7. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "Some Notes on the Formation of a Pair in Pairs Trading," Mathematics, MDPI, vol. 8(3), pages 1-17, March.

16. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.

    Cited by:

    1. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
    2. Liang, Yingjie & Chen, Wen, 2015. "A cumulative entropy method for distribution recognition of model error," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 729-735.
    3. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.

17. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.

    Cited by:

    1. Miguel Ángel Sánchez & Juan E Trinidad & José García & Manuel Fernández, 2015. "The Effect of the Underlying Distribution in Hurst Exponent Estimation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-17, May.
    2. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
    3. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
    4. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
    5. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
    6. Martín-Montoya, L.A. & Aranda-Camacho, N.M. & Quimbay, C.J., 2015. "Long-range correlations and trends in Colombian seismic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 124-133.
    7. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    8. Gómez-Águila, A. & Sánchez-Granero, M.A., 2021. "A theoretical framework for the TTA algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    9. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    10. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

18. Rambaud, Salvador Cruz & Pérez, José García & Sánchez Granero, Miguel Ángel & Trinidad Segovia, Juan Evangelista, 2009. "Markowitz's model with Euclidean vector spaces," European Journal of Operational Research, Elsevier, vol. 196(3), pages 1245-1248, August.

    Cited by:

    1. Yu, Bosco Wing-Tong & Pang, Wan Kai & Troutt, Marvin D. & Hou, Shui Hung, 2009. "Objective comparisons of the optimal portfolios corresponding to different utility functions," European Journal of Operational Research, Elsevier, vol. 199(2), pages 604-610, December.
    2. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
    3. Han, Yong & Wang, Xue-sheng & Zhang, Zhao & Zhang, Hao-nan, 2020. "Multi-objective optimization of geometric parameters for the helically coiled tube using Markowitz optimization theory," Energy, Elsevier, vol. 192(C).
    4. Mihir Dash, 2018. "Modelling the Efficient Frontier: An Empirical Study in the Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(2), pages 83-94, May.

19. Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.

    Cited by:

    1. Massimiliano Giacalone & Demetrio Panarello, 2022. "A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments," Mathematics, MDPI, vol. 10(5), pages 1-21, February.
    2. Aijun Guo & Yongnian Zhang & Fanglei Zhong & Daiwei Jiang, 2020. "Spatiotemporal Patterns of Ecosystem Service Value Changes and Their Coordination with Economic Development: A Case Study of the Yellow River Basin, China," IJERPH, MDPI, vol. 17(22), pages 1-17, November.
    3. Miguel Ángel Sánchez & Juan E Trinidad & José García & Manuel Fernández, 2015. "The Effect of the Underlying Distribution in Hurst Exponent Estimation," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-17, May.
    4. Qian Wang & Yangyang Liu & Linjing Tong & Weihong Zhou & Xiaoyu Li & Jianlong Li, 2018. "Rescaled Statistics and Wavelet Analysis on Agricultural Drought Disaster Periodic Fluctuations in China from 1950 to 2016," Sustainability, MDPI, vol. 10(9), pages 1-12, September.
    5. Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021. "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 883-903, December.
    6. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
    7. Zheng, Jing & Zhang, Guijun & Tong, Changqing, 2016. "Estimating the self-similar exponent of broad-sense self-similar processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 654-659.
    8. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
    9. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Papers 2105.09140, arXiv.org, revised Sep 2021.
    10. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    11. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
    12. Li, Sijia & Wang, Jinman & Zhang, Min & Tang, Qian, 2021. "Characterizing and attributing the vegetation coverage changes in North Shanxi coal base of China from 1987 to 2020," Resources Policy, Elsevier, vol. 74(C).
    13. Liu, Jian & Cheng, Cheng & Yang, Xianglin & Yan, Lizhao & Lai, Yongzeng, 2019. "Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    14. Owczarczuk, Marcin, 2012. "Long memory in patterns of mobile phone usage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1428-1433.
    15. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Working Papers hal-03230167, HAL.
    16. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
    17. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
    18. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
    19. Wang, Xuerui & Li, Xiangyu & Li, Shaoting, 2022. "Point and interval forecasting system for crude oil price based on complete ensemble extreme-point symmetric mode decomposition with adaptive noise and intelligent optimization algorithm," Applied Energy, Elsevier, vol. 328(C).
    20. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
    21. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
    22. Martín-Montoya, L.A. & Aranda-Camacho, N.M. & Quimbay, C.J., 2015. "Long-range correlations and trends in Colombian seismic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 124-133.
    23. João A. Bastos & Jorge Caiado, 2021. "On the classification of financial data with domain agnostic features," Working Papers REM 2021/0185, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    24. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    25. Zhang, Zilong & Chen, Xingpeng & Heck, Peter & Xue, Bing & Liu, Ye, 2015. "Empirical study on the environmental pressure versus economic growth in China during 1991–2012," Resources, Conservation & Recycling, Elsevier, vol. 101(C), pages 182-193.
    26. Hans B Sieburg & Giulio Cattarossi & Christa E Muller-Sieburg, 2013. "Lifespan Differences in Hematopoietic Stem Cells are Due to Imperfect Repair and Unstable Mean-Reversion," PLOS Computational Biology, Public Library of Science, vol. 9(4), pages 1-15, April.
    27. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
    28. Zilong Zhang & Bing Xue & Jiaxing Pang & Xingpeng Chen, 2016. "The Decoupling of Resource Consumption and Environmental Impact from Economic Growth in China: Spatial Pattern and Temporal Trend," Sustainability, MDPI, vol. 8(3), pages 1-13, February.
    29. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
    30. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
    31. Chafi, Mohammadreza Shafiee & Narm, Hossein Gholizade & Kalat, Ali Akbarzadeh, 2023. "Chaotic and stochastic evaluation in Fluxgate magnetic sensors," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
    32. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    33. Yuhang Wang & Muyi Kang & Mingfei Zhao & Kaixiong Xing & Guoyi Wang & Feng Xue, 2017. "The Spatiotemporal Variation of Tree Cover in the Loess Plateau of China after the ‘Grain for Green’ Project," Sustainability, MDPI, vol. 9(5), pages 1-15, May.
    34. Peng Shi & Miao Wu & Simin Qu & Peng Jiang & Xueyuan Qiao & Xi Chen & Mi Zhou & Zhicai Zhang, 2015. "Spatial Distribution and Temporal Trends in Precipitation Concentration Indices for the Southwest China," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(11), pages 3941-3955, September.
    35. José Pedro Ramos-Requena & Juan Evangelista Trinidad-Segovia & Miguel Ángel Sánchez-Granero, 2020. "An Alternative Approach to Measure Co-Movement between Two Time Series," Mathematics, MDPI, vol. 8(2), pages 1-24, February.
    36. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    37. Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos, 2021. "What should be taken into consideration when forecasting oil implied volatility index?," MPRA Paper 110831, University Library of Munich, Germany.
        • Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos, 2023. "What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?," The Energy Journal, , vol. 44(5), pages 231-250, September.
    38. Vitanov, Nikolay K. & Hoffmann, Norbert P. & Wernitz, Boris, 2014. "Nonlinear time series analysis of vibration data from a friction brake: SSA, PCA, and MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 69(C), pages 90-99.
    39. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.
    40. Gómez-Águila, A. & Sánchez-Granero, M.A., 2021. "A theoretical framework for the TTA algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    41. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
    42. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
    43. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    44. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
    45. Mariusz Tarnopolski, 2017. "Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach," Papers 1707.03746, arXiv.org, revised Aug 2017.
    46. Doucoure, Boubacar & Agbossou, Kodjo & Cardenas, Alben, 2016. "Time series prediction using artificial wavelet neural network and multi-resolution analysis: Application to wind speed data," Renewable Energy, Elsevier, vol. 92(C), pages 202-211.
    47. Rodríguez-Aguilar, Román & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter," MPRA Paper 59046, University Library of Munich, Germany.
    48. Li, Ruixue & Wang, Jiang & Chen, Yingyuan, 2018. "Effect of the signal filtering on detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 446-453.
    49. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    50. Auer, Benjamin R. & Hoffmann, Andreas, 2016. "Do carry trade returns show signs of long memory?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 201-208.
    51. Agnieszka Kapecka, 2013. "Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 107-126.

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