Analysis of effciency in high-frequency digital markets using the Hurst exponent
DOI:
https://doi.org/10.31349/RevMexFis.67.061402Keywords:
Efficiency, high-frequency trading, Hurst exponentAbstract
In this paper we analyze the Effcient Market Hypothesis for automated high-frequency stock markets. Using the Hurst exponent as a measure of eciency, we show that the time series of highfrequency stock prices do not follow random walks, rejecting then (as we discuss in the text) the EMH for these markets.
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