This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …

This work studies long-range correlations and informational efficiency of the Bitcoin market
for the period from June 30, 2013 to June 3rd, 2017. To this end, the detrended fluctuation …

The detrending moving average (DMA) algorithm is a widely used technique to quantify the
long-term correlations of nonstationary time series and the long-range correlations of fractal …

In this paper, we show how the sampling properties of the Hurst exponent methods of
estimation change with the presence of heavy tails. We run extensive Monte Carlo …

In this review article we present some of achievements of econophysics and sociophysics
which appear to us the most significant. We briefly explain what their roles are in building of …

This study examines the effect of the 2008 global financial crisis on the crude oil market. We
use the Hurst exponent, Shannon entropy, and the scaling exponent to characterize the …

We divided the whole series of Shenzhen stock market into two sub-series at the criterion of
the date of a reform and their scale behaviors are investigated using multifractal detrended …

In this paper, the impact of the 2008 financial crisis on the weak-form efficiency of twelve
Eurozone stock markets is investigated empirically. Efficiency is tested via the Generalized …

This paper aims to analyze whether the financial crises of the past 20 years have reduced
efficiency, in its weak form, in 19 stock markets belonging to the 20 most developed …

In this paper, we investigate the cross-correlations between Chinese A-share and B-share
markets. Qualitatively, we find that the return series of Chinese A-share and B-share markets …