Interpreting the concept of joint unpredictability of asset returns: A distance approach

Fulvia Focker and Umberto Triacca ()

Physica A: Statistical Mechanics and its Applications, 2006, vol. 369, issue 2, 765-770

Abstract: This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it represents a “singularity”. The result should give a theoretical support to the empirical evidence in favor of the predictability of the returns.

Keywords: Asset returns; Distance; Time series (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:369:y:2006:i:2:p:765-770

DOI: 10.1016/j.physa.2006.01.068

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