Optimizing a basket against the efficient market hypothesis
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.
|Date of creation:||14 Dec 2012|
|Date of revision:|
|Publication status:||Published in Quantitative Finance, Taylor & Francis (Routledge), 2012, 13 (1), pp.13-23. <10.1080/14697688.2012.723821>|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00773315|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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