Increasing market efficiency in the stock markets
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yang, Jae-Suk | - |
dc.contributor.author | Kwak, Wooseop | - |
dc.contributor.author | Kaizoji, Taisei | - |
dc.contributor.author | Kim, In-Mook | - |
dc.date.accessioned | 2021-09-09T13:02:35Z | - |
dc.date.available | 2021-09-09T13:02:35Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2008-01 | - |
dc.identifier.issn | 1434-6028 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/124520 | - |
dc.description.abstract | We study the temporal evolutions of three stock markets; Standard and Poor's 500 index, Nikkei 225 Stock Average, and the Korea Composite Stock Price Index. We observe that the probability density function of the log-return has a fat tail but the tail index has been increasing continuously in recent years. We have also found that the variance of the autocorrelation function, the scaling exponent of the standard deviation, and the statistical complexity decrease, but that the entropy density increases as time goes over time. We introduce a modified microscopic spin model and simulate the model to confirm such increasing and decreasing tendencies in statistical quantities. These findings indicate that these three stock markets are becoming more efficient. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | SPRINGER | - |
dc.subject | SPIN MODEL | - |
dc.subject | COMPUTATIONAL MECHANICS | - |
dc.subject | RANDOM-WALKS | - |
dc.subject | PRICE-INDEX | - |
dc.subject | DYNAMICS | - |
dc.subject | TIME | - |
dc.subject | RETURNS | - |
dc.title | Increasing market efficiency in the stock markets | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Yang, Jae-Suk | - |
dc.contributor.affiliatedAuthor | Kim, In-Mook | - |
dc.identifier.doi | 10.1140/epjb/e2008-00050-0 | - |
dc.identifier.scopusid | 2-s2.0-39249084373 | - |
dc.identifier.wosid | 000253216400016 | - |
dc.identifier.bibliographicCitation | EUROPEAN PHYSICAL JOURNAL B, v.61, no.2, pp.241 - 246 | - |
dc.relation.isPartOf | EUROPEAN PHYSICAL JOURNAL B | - |
dc.citation.title | EUROPEAN PHYSICAL JOURNAL B | - |
dc.citation.volume | 61 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 241 | - |
dc.citation.endPage | 246 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Physics | - |
dc.relation.journalWebOfScienceCategory | Physics, Condensed Matter | - |
dc.subject.keywordPlus | SPIN MODEL | - |
dc.subject.keywordPlus | COMPUTATIONAL MECHANICS | - |
dc.subject.keywordPlus | RANDOM-WALKS | - |
dc.subject.keywordPlus | PRICE-INDEX | - |
dc.subject.keywordPlus | DYNAMICS | - |
dc.subject.keywordPlus | TIME | - |
dc.subject.keywordPlus | RETURNS | - |
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