The market efficiency in the stock markets

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We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (KOSPI). Based on the microscopic spin model, we also find that these statistical quantities in stock markets depend on the market efficiency.
8 pages, 5 figures

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Physics and Society, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/209143

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0701179
 http://arxiv.org/abs/physics/0701179
 The European Physical Journal B 61 (2) 241-246 (2008)
 doi:10.1140/epjb/e2008-00050-0

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arXiv