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Efektivita kapitálových trhů: fraktální dimenze, Hurstův exponent a entropie

Capital Markets Efficiency: Fractal Dimension, Hurst Exponent and Entropy

Ladislav Krištoufek () and Miloslav Vošvrda ()

Politická ekonomie, 2012, vol. 2012, issue 2, 208-221

Abstract: In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found ? the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; and the most efficient capital markets are the stock indices of the most developed countries (FTSE, SPX, NIKKEI and DAX).

Keywords: capital markets efficiency; fractal dimension; long-range; dependence; entropy (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2012
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