Optimizing a basket against the efficient market hypothesis

Frédéric Abergel () and Mauro Politi
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Frédéric Abergel: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris
Mauro Politi: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris

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Abstract: The possibility that the collective dynamics of a set of stocks could lead to a speci c basket violating the e cient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are of the order of tens of seconds. Moreover, we show that this situation is persistent enough to allow some kind of forecasting.

Date: 2012-12-14
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Published in Quantitative Finance, 2012, 13 (1), pp.13-23. ⟨10.1080/14697688.2012.723821⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00773315

DOI: 10.1080/14697688.2012.723821

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