Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market

Sergio Da Silva, Annibal Figueiredo (), Iram Gleria () and Raul Matsushita ()
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Annibal Figueiredo: Department of Physics, University of Brasilia
Iram Gleria: Institute of Physics, Federal University of Alagoas
Raul Matsushita: Department of Statistics, University of Brasilia

Economics Bulletin, 2007, vol. 7, issue 1, 1-11

Abstract: We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents (Hurst 1951, 1955, Feder 1988), which offer an alternative (from statistical physics) to traditional econometric gauges. We show that a trend toward efficiency has been reverted since the crisis of 1999. We also find power laws (Mantegna and Stanley 2000) in means, volatilities, the Hurst exponents, autocorrelation times, and complexity indices of returns for varying time lags.

Keywords: econophysics (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2007-01-18
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Citations: View citations in EconPapers (14)

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