Defining efficiency in heterogeneous markets

Authors: M. Dacorogna ^a; U. Mller ^b; R. Olsen ^b; O. Pictet ^c

Affiliations:	^a Zurich Re, Zrich.
	^b Olsen & Associates, Zrich.
	^c Dynamic Asset Management, Geneva.

DOI: 10.1080/713665666

Publication Frequency: 8 issues per year

Published in: journal

Quantitative Finance, Volume 1, Issue 2 February 2001 , pages 198 - 201

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: PDF (English)

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Michel Dacorogna, Ulrich M uuml

ller, Richard Olsen and Olivier Pictet offer a new definition of efficient markets that takes into account heterogeneity and varying time scales.

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