The long memory and the transaction cost in financial markets
作者： Daye Li , Yusaku Nishimura , Ming Men
DOI: 10.1016/J.PHYSA.2015.09.015
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摘要: Abstract In the present work, we investigate fractal dimensions of 30 important stock markets from 2006 to 2013; analysis indicates that Hurst exponent emerging shifts significantly away standard Brownian motion. We propose a model based on explore considerable profits predictable long-term memory. take transaction cost into account justify why market inefficiency has not been arbitraged in majority cases. The empirical evidence are efficient with certain under no-arbitrage assumption. Furthermore, use Monte Carlo simulation display “the frontier” different costs.
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