Section 2 provides a brief review of literature related to long-term memory in the forms of persistence and anti-persistence. The sections 3 and 4 present the data series and describe the methods employed.
Markets that exhibit anti-persistence, or unpredictability, are usually called ultra-efficient markets (Los & Yu, 2008).
The strength of the anti-persistence behaviour increases as the value of the exponent H approaches zero.
If the time series exhibits positive or negative long-term dependence, the exponent H should converge in values larger (persistence) or smaller (anti-persistence) than 0.5, respectively.
This implies anti-persistence and a faster return to the original level.
(2008a) find the Hurst exponent varies substantially from persistence (above 0.5) to anti-persistence (below 0.5).
Anti-persistence can be more easily interpreted on the grounds, for instance, of a learning process leading to price overreactions that are immediately adjusted.