2,382 research outputs found
The market efficiency in the stock markets
We study the temporal evolution of the market efficiency in the stock markets
using the complexity, entropy density, standard deviation, autocorrelation
function, and probability distribution of the log return for Standard and
Poor's 500 (S&P 500), Nikkei stock average index, and Korean composition stock
price index (KOSPI). Based on the microscopic spin model, we also find that
these statistical quantities in stock markets depend on the market efficiency.Comment: 8 pages, 5 figure
Information transfer between stock market sectors: A comparison between the USA and China
Information diffusion within financial markets plays a crucial role in the
process of price formation and the propagation of sentiment and risk. We
perform a comparative analysis of information transfer between industry sectors
of the Chinese and the USA stock markets, using daily sector indices for the
period from 2000 to 2017. The information flow from one sector to another is
measured by the transfer entropy of the daily returns of the two sector
indices. We find that the most active sector in information exchange (i.e., the
largest total information inflow and outflow) is the {\textit{non-bank
financial}} sector in the Chinese market and the {\textit{technology}} sector
in the USA market. This is consistent with the role of the non-bank sector in
corporate financing in China and the impact of technological innovation in the
USA. In each market, the most active sector is also the largest information
sink that has the largest information inflow (i.e., inflow minus outflow). In
contrast, we identify that the main information source is the {\textit{bank}}
sector in the Chinese market and the {\textit{energy}} sector in the USA
market. In the case of China, this is due to the importance of net bank lending
as a signal of corporate activity and the role of energy pricing in affecting
corporate profitability. There are sectors such as the {\textit{real estate}}
sector that could be an information sink in one market but an information
source in the other, showing the complex behavior of different markets.
Overall, these findings show that stock markets are more synchronized, or
ordered, during periods of turmoil than during periods of stability.Comment: 12 pages including 8 figure
Information flow between stock indices
Using transfer entropy, we observed the strength and direction of information
flow between stock indices. We uncovered that the biggest source of information
flow is America. In contrast, the Asia/Pacific region the biggest is receives
the most information. According to the minimum spanning tree, the GSPC is
located at the focal point of the information source for world stock markets
Non-extensive Behavior of a Stock Market Index at Microscopic Time Scales
This paper presents an empirical investigation of the intraday Brazilian
stock market price fluctuations, considering q-Gaussian distributions that
emerge from a non-extensive statistical mechanics. Our results show that, when
returns are measured over intervals less than one hour, the empirical
distributions are well fitted by q-Gaussians with exponential damped tails.
Scaling behavior is also observed for these microscopic time intervals. We find
that the time evolution of the distributions is according to a super diffusive
q-Gaussian stationary process within a nonlinear Fokker-Planck equation. This
regime breaks down due to the exponential fall-off of the tails, which in turn,
governs the transient dynamics to the long-term macroscopic Gaussian regime.
Our results suggest that this modeling provides a framework for the description
of the dynamics of stock markets intraday price fluctuations.Comment: 17 pages, 11 figures and 1 tabl
- …