Otwarty dostęp

The changing landscape of economy: social and technological progress in explaining the informational efficiency of capital markets

   | 27 lip 2020

Zacytuj

Balp, Gaia and Strampelli, Giovanni, Preserving Capital Markets Efficiency in the High-Frequency Trading Era (January 7, 2018). Bocconi Legal Studies Research Paper No. 3097723; Journal of Law, Technology and Policy, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3097723 or http://dx.doi.org/10.2139/ssrn.309772310.2139/ssrn.3097723 Search in Google Scholar

Beran, Jan (1994). Statistics for Long-Memory Processes; Chapman & Hall. (Section 6.1, p.116–119; 12.1.3, p.223 ff) Search in Google Scholar

Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. “Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data,” Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.10.1016/j.jempfin.2011.08.002 Search in Google Scholar

Kristoufek, Ladislav, and Miloslav Vosvrda. “Measuring Capital Market Efficiency: Long-Term Memory, Fractal Dimension and Approximate Entropy.” The European Physical Journal B 87.7 (2014): n. pag. Crossref. Web.10.1140/epjb/e2014-50113-6 Search in Google Scholar

Yentes, Jennifer & Hunt, Nathaniel & Schmid, Kendra & Kaipust, Jeffrey & Mcgrath, Denise & Stergiou, Nicholas. (2012). The Appropriate Use of Approximate Entropy and Sample Entropy with Short Data Sets. Annals of biomedical engineering. 41. 10.1007/s10439-012-0668-3. Search in Google Scholar

Reisen, V. A., B. Abraham, and E. M. M. Toscano (2001) Parametric and semiparametric estimations of stationary univariate ARFIMA model. Brazilian Journal of Probability and Statistics 14, 185–206. Search in Google Scholar

Rickles, Dean (2008) Econophysics and Financial Market Complexity Search in Google Scholar

Stiglitz J.E. (2016) New Theoretical Perspectives on the Distribution of Income and Wealth Among Individuals. In: Basu K., Stiglitz J.E. (eds) Inequality and Growth: Patterns and Policy. International Economic Association Series. Palgrave Macmillan, London10.1057/9781137554543_1 Search in Google Scholar

The Worldwide Governance Indicators (WGI) project, http://info.worldbank.org/governance/wgi/ Search in Google Scholar

Virgilio, Gianluca. (2015). High-frequency trading and the efficient market hypothesis. Search in Google Scholar

eISSN:
2558-9652
Język:
Angielski