Violation of market efficiency in transition economies

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time series with all the previous features found in the empirical data.
6 pages, 2 figures, conference proceedings

Keywords

Physics and Society, Statistical Finance

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/209106

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0608022
 http://arxiv.org/abs/physics/0608022

Collections

arXiv