The market efficiency in the stock markets

Details The market efficiency in the stock markets The market efficiency in the stock markets

2007-01-16

arxiv.org/abs/physics/0701179v2

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

Physics

Physics and Society

8 pages, 5 figures

Scientific paper

10.1140/epjb/e2008-00050-0

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.

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