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首页> 外文期刊>Physica, A. Statistical mechanics and its applications >How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
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How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis

机译：股票价格如何快速适应市场效率？趋势波动分析的证据

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In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a Hurst exponent of 0.5. The Hurst exponent is estimated for different time horizons using detrended fluctuation analysis-a method suitable for non-stationary series with trends-in order to identify at which time scale the Hurst exponent is consistent with the efficient market hypothesis. Using high-frequency share price, exchange rate and stock data, we show how price dynamics exhibited important deviations from efficiency for time periods of up to 15 min; thereafter, price dynamics was consistent with a geometric Brownian motion. The intraday behaviour of the series also indicated that price dynamics at trade opening and close was hardly consistent with efficiency, which would enable investors to exploit price deviations from fundamental values. This result is consistent with intraday volume, volatility and transaction time duration patterns.
机译：在本文中，我们分析价格波动的目的是测量市场将价格调整为弱形式效率所需的时间，即价格调整为Hurst指数为0.5的分数布朗运动所需的时间。使用去趋势波动分析（一种适用于具有趋势的非平稳序列的方法）对不同时间范围的Hurst指数进行估算，以便确定Hurst指数在哪个时间尺度上与有效的市场假设相一致。使用高频股票价格，汇率和股票数据，我们展示了在长达15分钟的时间段内，价格动态如何与效率产生重大偏离;此后，价格动态与几何布朗运动一致。该系列的盘中行为还表明，交易开盘和收盘时的价格动态几乎与效率不一致，这将使投资者能够利用价格与基本价值的偏差。该结果与盘中交易量，波动率和交易时间持续时间模式一致。

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