Optimizing a basket against the efficient market hypothesis

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Optimizing a basket against the efficient market hypothesis

The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are of the order of tens of seconds. Moreover, we show that this situation is persistent enough ...

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ژورنال

عنوان ژورنال: Quantitative Finance

سال: 2013

ISSN: 1469-7688,1469-7696

DOI: 10.1080/14697688.2012.723821