Martingales, the efficient market hypothesis, and spurious stylized facts
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References listed on IDEAS
- McCauley, Joseph L., 2007. "Fokker-Planck and Chapman-Kolmogorov equations for Ito processes with finite memory," MPRA Paper 2128, University Library of Munich, Germany.
- 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.
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- 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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KeywordsNonstationary increments; martingales; fat tails; Hurst exponent scaling;
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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