Violation of market efficiency in transition economies
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.
Year of publication: |
2006-08
|
---|---|
Authors: | Podobnik, Boris ; Grosse, Ivo ; Horvatic, Davor ; Ivanov, Plamen Ch ; Jagric, Timotej ; Stanley, H. E. |
Institutions: | arXiv.org |
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