The market efficiency in the stock markets
نویسندگان
چکیده
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 a microscopic spin model, we also find that these statistical quantities in stock markets depend on the market efficiency. PACS. 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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