Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets
The increasing empirical evidence against the paradigm that stock markets behave efficiently suggests to relax the too restrictive dichotomy between efficient and inefficient markets. Starting from the idea that f inancial prices evolve in a continuum of equilibria and disequilibria, we use the Hurst–Hölder exponent to quantify the pointwise degree of (in)efficiency and introduce the notion of α-efficiency.