Violation of market efficiency in transition economies

Boris Podobnik, Ivo Grosse, Davor Horvatic, Plamen Ch Ivanov, Timotej Jagric and H. E. Stanley

Papers from arXiv.org

Abstract: 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.

Date: 2006-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0608022

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