Temporal evolution into a more efficient stock market

Cited 8 time in webofscience Cited 0 time in scopus
  • Hit : 261
  • Download : 0
Using the price change and the log return of 10 stock market indices, we examine the temporal evolution of the time scale. The 10 stock markets had similar properties. Their log-return time series had patterns and long-range correlations until the mid-1990s. In the 2000s, however, the long-range correlations for most markets shortened, and the patterns weakened. These phenomena were due to advances in communication infrastructure such as the Internet and internet-based trading systems, which increased the speed of information dissemination. We examined the temporal evolution of the time scale in the markets by comparing the probability density function of log returns for the 2000s with that in the 1990s and by using the minimum entropy density method.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2011-06
Language
English
Article Type
Article
Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.11, pp.2002 - 2008

ISSN
0378-4371
DOI
10.1016/j.physa.2011.01.009
URI
http://hdl.handle.net/10203/207234
Appears in Collection
RIMS Journal Papers
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 8 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0