Hurst Exponents, Power Laws, and Efficiency in the Brazilian Foreign Exchange Market

Sergio Da Silva, Federal University of Santa Catarina
Raul Matsushita, University of Brasilia
Iram Gleria, Federal University of Alagoas
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.