Increasing market efficiency in the stock markets

@article{Yang2007IncreasingME,
  title={Increasing market efficiency in the stock markets},
  author={Jae-Suk Yang and Wooseop Kwak and Taisei Kaizoji and In-mook Kim},
  journal={The European Physical Journal B},
  year={2007},
  volume={61},
  pages={241-246}
}
  • Jae-Suk Yang, Wooseop Kwak, +1 author In-mook Kim
  • Published 2007
  • Mathematics, Physics, Economics
  • 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… CONTINUE READING

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