This article introduces a new measure of stock market efficiency. The measure specifies how much a stock market index deviates from Brownian motion and is computed from frequency representations of isoquantile shapes estimated from lagged index returns. We describe the theory behind the...

In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We fit the data of the 4-year period from March 2005 to...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values...

A heterogeneous agent model with the WOA was considered for obtaining more realistic market conditions. The WOA replaces periodically the trading strategies that have the lowest performance level of all strategies presented on the market by the new ones. New strategies that enter on the market...

According to efficient markets theory, the stock price on a competitive market is the best estimate of the stock’s present value. This is the basic assumption for predictions using experimental markets. The first part of the paper describes the features of such an experimental market,...

Using high-frequency trade and quote data from the Prague Stock Exchange, this paper investigates the empirical behavior of price durations defined as the time needed for a quote midpoint to move by a given amount. Focusing on the three most liquid securites traded on the exchange - Cesky...

Depositary receipts gained much popularity in the 1990s. After a slowdown in 2001/2002, years 2003 and 2004 brought a renewed progress of the DR markets. Also Central European companies are gradually becoming aware of the advantages of DR offering. In line with the market segmentation...

Using high-frequency trade and quote data from the Prague Stock Exchange, this paper investigates the price impact of stock trades using a vector autoregressive model. We find that (a) full impact of a trade on the security price is not felt instantaneously but a with a protracted lag, (b) as a...

The paper develops a theoretical framework for studying price formation in brokered foreign exchange markets with very high order arrival frequency (to be followed by an application to real data on Czech koruna transactions in subsequent work). I construct a model of an order-driven market with...