4 citations · 6 across the 8 of their papers we have counts for
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q-fin.ST2023★ 2 cited
Fractal properties, information theory, and market efficiency
Xavier Brouty, Matthieu Garcin
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset,…
q-fin.ST2023★ 4 cited
Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis
Matthieu Garcin
We are interested in the nonparametric estimation of the probability density of price returns, using the kernel approach. The output of the method heavily relies on the selection o…