英文标题：
《Are European equity markets efficient? New evidence from fractal
  analysis》
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作者：
Enrico Onali, John Goddard
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最新提交年份：
2014
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英文摘要：
  Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range dependence implies that predictable patterns in the log returns do not dissipate quickly, and may therefore produce potential arbitrage opportunities. Therefore, these results are in contravention of the Efficient Market Hypothesis. We show that correcting for short range dependence, or prefiltering, may dispose of genuine long range dependence, suggesting that the market is efficient in cases when it is not. Prefiltering does not reduce significantly the power of the tests only for cases for which the Hurst exponent (a measure of the long range dependence) lies well outside the boundaries of no long range dependence. For borderline cases, the prefiltering procedure reduces the power of the test. On the other hand, the absence of prefiltering does not result in a test that is significantly oversized.
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中文摘要：
对七个欧洲国家和美国的股票市场指数进行了分形分析。我们在Mibtel（意大利）和PX Glob（捷克共和国）的对数回归序列中发现了长期依赖性的证据。长期依赖意味着对数收益中的可预测模式不会迅速消失，因此可能会产生潜在的套利机会。因此，这些结果违反了有效市场假说。我们表明，纠正短期依赖，或预过滤，可能会处理真正的长期依赖，这表明市场是有效的情况下，它不是。只有在Hurst指数（长程相关性的一种度量）远远超出无长程相关性边界的情况下，预过滤不会显著降低测试的威力。对于临界情况，预过滤程序会降低测试的能力。另一方面，不进行预过滤不会导致试验明显过大。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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