The market efficiency in the stock markets

Yang, Jae-Suk, Wooseop Kwak, Taisei Kaizoji () and Kim, In-mook

Quantitative Finance Papers from arXiv.org

Abstract: 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.

Date: Written

Published in The European Physical Journal B 61 (2) 241-246 (2008)

Downloads: (external link)
http://arxiv.org/abs/physics/0701179 Abstract (text/html)
http://arxiv.org/pdf/physics/0701179 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:physics/0701179

Access Statistics for this paper

More papers in Quantitative Finance Papers from arXiv.org
Series data maintained by arXiv administrators ().