Institute of Information Theory and Automation

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Publication details

Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy

Journal Article

Krištoufek Ladislav, Vošvrda Miloslav

serial: European Physical Journal B vol.87, 7 (2014)

project(s): GBP402/12/G097, GA ČR, FP7/2007-2013, HEXACOMM

keywords: Statistical and Nonlinear Physics, fractal dimension, stock market efficiency

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abstract (eng):

We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [L. Kristoufek, M. Vosvrda, Physica A 392, 184 (2013)]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (the Netherlands, France and Germany) and the least efficient ones in the Latin America (Venezuela and Chile).


bocek: 2012-12-21 16:10