Resumo

LOPEZ, M.  e  MANSILLA, R.. Analysis of efficiency in high-frequency digital markets using the Hurst exponent. Rev. mex. fis. [online]. 2021, vol.67, n.6, 061402.  Epub 14-Mar-2022. ISSN 0035-001X.  https://doi.org/10.31349/revmexfis.67.061402.

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.

Palavras-chave : Efficiency; high-frequency trading; Hurst exponent.

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