The efficient market hypothesis (EMH) has been the central proposition of finance since the
early 1970s and is one of the most well-studied hypotheses in all the social sciences, yet …

This paper offers a multifaceted perspective of the literature on long memory. Although the
research on long memory has played an instrumental role in elevating the level of scholarly …

Using a wavelet-based maximum likelihood fractional integration estimator, we test long
memory (return predictability) in the returns at the market, industry and firm level. In an …

This study, using wavelet-based method investigates the dynamics of long memory in the
returns and volatility of equity markets. In the sample of five developed and five emerging …

Two phenomena that can be discovered in systems with anomalous diffusion are long-range
dependence and trapping events. The first effect concerns events that are arbitrarily distant …

In this paper we show that the logarithmic returns of the Hang Seng index from January 2,
1987 to November 14, 2005 statistically resemble a sequence of independent identically …

This multidisciplinary thesis investigates the application of machine learning to financial time
series analysis. The research is motivated by the following thesis question:'Can one improve …

The efficient market hypothesis (EMH) claims that in an efficient market where prices of
securities fully reflect their intrinsic values, it is not possible to make excess returns with any …

In this article we show that usage of a mobile phone, ie daily series of number of calls made
by a customer, exhibits long memory. We use a sample of 4502 postpaid users from a Polish …

This paper seeks to understand the long memory behaviour of global equity returns using
novel methods from wavelet analysis. We implement the wavelet based multivariate long …