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Description
  • We propose a new measure of capital market efficiency. The measure takes into consideration the correlation structure of the returns (long- term and short-term memory) and local dynamics of the markets (information dimension). The efficiency measure is then taken as a distance from an ideal efficient market situation. Methodology is applied to a portfolio of 40 stock indices. By distinguishing between local and global inefficiencies, we find that the total inefficiency is mainly driven by the local inefficiencies, i.e. a low information (fractal) dimension.
  • We propose a new measure of capital market efficiency. The measure takes into consideration the correlation structure of the returns (long- term and short-term memory) and local dynamics of the markets (information dimension). The efficiency measure is then taken as a distance from an ideal efficient market situation. Methodology is applied to a portfolio of 40 stock indices. By distinguishing between local and global inefficiencies, we find that the total inefficiency is mainly driven by the local inefficiencies, i.e. a low information (fractal) dimension. (en)
Title
  • Measuring capital market efficiency with tools of statistical physics
  • Measuring capital market efficiency with tools of statistical physics (en)
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  • Measuring capital market efficiency with tools of statistical physics
  • Measuring capital market efficiency with tools of statistical physics (en)
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  • RIV/00216208:11230/12:10124469!RIV13-MSM-11230___
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  • 149043
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  • RIV/00216208:11230/12:10124469
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  • entropy; fractal dimension; long-range dependence; capital market efficiency (en)
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  • [BE5681F33086]
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  • Karviná
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  • Proceedings of 30th International Conference Mathematical Methods in Economics
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  • Vošvrda, Miloslav
  • Krištoufek, Ladislav
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  • Slezská univerzita v Opavě
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  • 978-80-7248-779-0
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  • 11230
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