This study aims to test the adaptive market hypothesis by using myopic behavior of investors as a new proxy. The data have been taken from New York Stock Exchange December 1994 2020. Following this collection data, companies’ stock prices were distributed into six different portfolios based on size, investment, book-to-market value, and operating profit. Ordinal logistic regression was used cal...

â â â  â â â â â â  â  abstract â  based on the recent literature of heterogeneous firms, productive firms self select themselves into foreign markets. in this framework, there is a productivity rise prior to exporting. on the other words, different export performance across firms is linked to their heterogeneity. â  the main purpose of the present paper is to examine the so-called hypothesis o...

A fractal approach is used to analyze financial time series, applying different degrees of time resolution, and the results are interrelated. Some fractal properties of foreign exchange (FX) data are found. In particular, the mean size of the absolute values of price changes follows a “fractal” scaling law (a power law) as a function of the analysis time interval ranging from a few minutes up t...

We present the first measurement study of JoinMarket, a growing marketplace for more anonymous transfers in the Bitcoin ecosystem. Our study reveals that this market is funded with multiple thousand bitcoins and generated a turnover of almost 29.5 million USD over the course of 13 months. Assessing the resilience of the market against a well-funded attacker, we discover that in a typical scenar...

This paper provides an analysis of the asymptotic properties of consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular we investigate the market selection hypothesis, that markets favor traders with more accurate beliefs. We show that in any Pareto optimal allocation whether each consumer vanishes or survives is determined entirely by disco...

Objective: The present study aims atinvestigating the behavior of realized volatility for high-frequency data of Tehran Stock Index from April28th, 2012 to August 8th, 2018. Methods: Three different types of HAR models including of HAR-RV-CJ, HAR-RV and HAR-RVJ were used to analyze the Realized Volatility. Results: The obtained results of three diverse models revealed that the estimated Reali...