Introduction to Focus Issue: Nonlinear dynamics of non-equilibrium complex systems

Descalzi, Orazio; Rosso, Osvaldo A.

doi:10.1063/1.5046957

Cited by 2 publications

(1 citation statement)

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“…According to Kılıç (2020), market participants constantly adapt their strategies based on changing information, which prevents the persistence of long-term memory. Descalzi and Rosso (2018) are of the opinion that financial markets exhibit nonlinear dynamics which can give rise to complex and unpredictable behavior. These nonlinearities, such as feedback loops and interactions between various market factors, can lead to short-term dependencies in prices but limit the presence of long-term memory.…”

Section: Literature Reviewmentioning

confidence: 99%

The long-term memory of stock markets: unveiling patterns and predictability

Enow

2024

IJRBS

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The efficient market hypothesis assumes that financial markets fully incorporate all available information, rendering past information irrelevant for predicting future prices. However, numerous studies challenge this notion and suggest the presence of long-term memory in market dynamics. Understanding long-term memory in financial markets has important implications for investors and policymakers. The aim of this study was to empirically investigate long term memory in financial markets. This study employed a Hurst model for a sample of 5 financial markets from June 1, 2018, to June 1, 2023. The findings revealed that four out of the five sampled financial market exhibits long term memory which challenges the efficient market hypothesis concept. Therefore, portfolio managers and active market participants can utilize long-term memory to optimize asset allocation decisions by considering the persistent effects of past returns and adjust portfolio weights to take advantage of potential return predictability and manage risk.

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Section: Literature Reviewmentioning

confidence: 99%