Violation of market efficiency in transition economies

Details Violation of market efficiency in transition economies Violation of market efficiency in transition economies

2006-08-02

arxiv.org/abs/physics/0608022v1

Physics

Physics and Society

6 pages, 2 figures, conference proceedings

Scientific paper

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.

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