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Article
Hurst Exponents, Power Laws, and Efficiency in the Brazilian Foreign Exchange Market
Economics Bulletin (2007)
  • Sergio Da Silva
  • Raul Matsushita, University of Brasilia
  • Iram Gleria
  • Annibal Figueiredo, University of Brasilia
Abstract
We find evidence of weak informational efficiency in the Brazilian daily foreign exchange market using Hurst exponents, 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 in means, volatilities, the Hurst exponents, autocorrelation times, and complexity indices of returns for varying time lags.
Keywords
  • Financial efficiency,
  • Foreign exchange markets,
  • Power laws,
  • Hurst exponents
Disciplines
Publication Date
January, 2007
Publisher Statement
Economics Bulletin is open access
Citation Information
Sergio Da Silva, Raul Matsushita, Iram Gleria and Annibal Figueiredo. "Hurst Exponents, Power Laws, and Efficiency in the Brazilian Foreign Exchange Market" Economics Bulletin Vol. 7 Iss. 1 (2007)
Available at: http://works.bepress.com/sergiodasilva/11/