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Ke Wu

ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)

Scheuchzerstrasse 7

Zürich, Zurich 8092

Switzerland

  • ETH Zurich - Department of Management, Technology, and Economics (D-MTEC)

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The British Pound on Brexit Night: A Natural Experiment of Market Efficiency and Real-Time Predictability

Swiss Finance Institute Research Paper No. 17-12
Number of pages: 38 Posted: 29 Mar 2017
Ke Wu, Spencer Wheatley and Didier Sornette
ETH Zurich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
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Abstract:

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Brexit, efficient market hypothesis, response function, one factor model, prediction, market failure