Analysis of effciency in high-frequency digital markets using the Hurst exponent

• M. López ^[1] ; R. Mansilla ^[1]
  1. [1] Universidad Nacional Autónoma de México

     Universidad Nacional Autónoma de México

     México

     
• Localización: Revista Mexicana de Física, ISSN-e 0035-001X, Vol. 67, Nº. 6, 2021, págs. 972-983
• Idioma: inglés
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• Resumen

  • In this paper, we analyze the Efficient Market Hypothesis for automated high-frequency stock markets. Using the Hurst exponent as a measure of efficiency, we show that the time series of high-frequency stock prices do not follow random walks, rejecting then (as we discuss in the text) the EMH for these markets.