Kristoufek, Ladislav; Vosvrda, Miloslav - Institut für Volkswirtschaftslehre, … - 2014
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the...
