Realtime estmation of the degree of market efficiency using variable weighted sample entropy

Koichi Sugisaki, Hiromitsu Ohmori

研究成果: Conference contribution

1 引用 (Scopus)

抜粋

Recently, the complex features of financial time series have been studied using a variety of methods developed in econophysics. These analyses of extensive financial data have empirically pointed to the breakdown of the efficient market hypothesis(EMH), in particular the weak-form of EMH. Sample Entropy(SampEn) can be used to quantify the randomness in the time series. In the financial time series analysis, the SampEn can quantify the degree of market efficiency. In this paper, we investigated the degree of market efficiency of the US market and Asian market around the epoch of Black Monday and Asian Currency Crisis respectively by using variable weighted SampEn algorithm.

元の言語English
ホスト出版物のタイトルProceedings of SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology
ページ1415-1418
ページ数4
DOI
出版物ステータスPublished - 2008 12 1
イベントSICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology - Tokyo, Japan
継続期間: 2008 8 202008 8 22

出版物シリーズ

名前Proceedings of the SICE Annual Conference

Other

OtherSICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology
Japan
Tokyo
期間08/8/2008/8/22

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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  • これを引用

    Sugisaki, K., & Ohmori, H. (2008). Realtime estmation of the degree of market efficiency using variable weighted sample entropy. : Proceedings of SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology (pp. 1415-1418). [4654880] (Proceedings of the SICE Annual Conference). https://doi.org/10.1109/SICE.2008.4654880