In this article we present evidence that non-linear episodes in financial series are more permanent than transitory, while showing different behaviors depending on the market analyzed, which would indicate that they are not completely synchronized. On the other hand, the size of the window for detecting non-linear episodes has an impact on the number of non-linear windows found, as well as the percentage of non-linear windows with respect to the total number of windows, confirming a window size effect. The results strongly invalidate the efficient markets hypothesis and forcefully explain the impossibility of predicting their future values.

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