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Martingales, the efficient market hypothesis, and spurious stylized facts

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Figure

Fig. 1.
Fig. 2(b) We observe that the same intraday stochastic
Fig. 3(a). The scaling function F(u) is calculated from a
Fig. 3(b) The ‘sliding window scaling function’ FS(us), u=x(T)/THs was calculated for the same simulated data
+3

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