9,151 research outputs found
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
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 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).Comment: 12 pages, 1 figure, 4 table
Generalized Hurst exponent and multifractal function of original and translated texts mapped into frequency and length time series
A nonlinear dynamics approach can be used in order to quantify complexity in
written texts. As a first step, a one-dimensional system is examined : two
written texts by one author (Lewis Carroll) are considered, together with one
translation, into an artificial language, i.e. Esperanto are mapped into time
series. Their corresponding shuffled versions are used for obtaining a "base
line". Two different one-dimensional time series are used here: (i) one based
on word lengths (LTS), (ii) the other on word frequencies (FTS). It is shown
that the generalized Hurst exponent and the derived curves
of the original and translated texts show marked differences. The original
"texts" are far from giving a parabolic function, - in contrast to
the shuffled texts. Moreover, the Esperanto text has more extreme values. This
suggests cascade model-like, with multiscale time asymmetric features as
finally written texts. A discussion of the difference and complementarity of
mapping into a LTS or FTS is presented. The FTS curves are more
opened than the LTS onesComment: preprint for PRE; 2 columns; 10 pages; 6 (multifigures); 3 Tables; 70
reference
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