Increasing market efficiency in the stock markets |
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Authors: | Jae-Suk Yang Wooseop Kwak Taisei Kaizoji In-mook Kim |
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Affiliation: | (1) Department of Physics, Korea University, Seoul, 136-701, Korea;(2) Division of Social Sciences, International Christian University, Osawa, Mitaka, Tokyo 181-8585, Japan;(3) School of Physics, Korea Institute for Advanced Study, Seoul, 130-722, Korea |
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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. An erratum to this article is available at . |
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Keywords: | 89.65.Gh Economics econophysics, financial markets, business and management 89.70.+c Information theory and communication theory 89.75.Fb Structures and organization in complex systems |
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