dorsal/arxiv
View SchemaViolation of market efficiency in transition economies
| Authors | Boris Podobnik, Ivo Grosse, Davor Horvatic, Plamen Ch Ivanov, Timotej Jagric, H. E. Stanley |
|---|---|
| Categories | |
| ArXiv ID | physics/0608022 |
| URL | https://arxiv.org/abs/physics/0608022 |
Abstract
We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time series with all the previous features found in the empirical data.
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"date_created": "2026-03-02T18:01:11.116000Z",
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"abstract": "We analyze the European transition economies and show that time series for\nmost of major indices exhibit (i) power-law correlations in their values,\npower-law correlations in their magnitudes, and (iii) asymmetric probability\ndistribution. We propose a stochastic model that can generate time series with\nall the previous features found in the empirical data.",
"arxiv_id": "physics/0608022",
"authors": [
"Boris Podobnik",
"Ivo Grosse",
"Davor Horvatic",
"Plamen Ch Ivanov",
"Timotej Jagric",
"H. E. Stanley"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"title": "Violation of market efficiency in transition economies",
"url": "https://arxiv.org/abs/physics/0608022"
},
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