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Sergio Da Silva, Annibal Figueiredo, Iram Gleria and Raul Matsushita
 
''Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market''
( 2007, Vol. 7 No.1 )
 
 
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
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
F3 - International Finance: General
 
Manuscript Received : Nov 27 2006 Manuscript Accepted : Jan 18 2007

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