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

Koichi Sugisaki; Hiromitsu Ohmori

doi:10.1109/SICE.2008.4654880

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

Koichi Sugisaki, Hiromitsu Ohmori

Department of System Design Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

1 Citation (Scopus)

Abstract

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.

Original language	English
Title of host publication	Proceedings of SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology
Pages	1415-1418
Number of pages	4
DOIs	https://doi.org/10.1109/SICE.2008.4654880
Publication status	Published - 2008
Event	SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology - Tokyo, Japan Duration: 2008 Aug 20 → 2008 Aug 22

Publication series

Name	Proceedings of the SICE Annual Conference

Other

Other	SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology
Country/Territory	Japan
City	Tokyo
Period	08/8/20 → 08/8/22

Keywords

Market crash
Market efficiency
Real-time
Sample entropy

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/SICE.2008.4654880

Cite this

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

Realtime estmation of the degree of market efficiency using variable weighted sample entropy. / Sugisaki, Koichi; Ohmori, Hiromitsu.
Proceedings of SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology. 2008. p. 1415-1418 4654880 (Proceedings of the SICE Annual Conference).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Sugisaki, K & Ohmori, H 2008, Realtime estmation of the degree of market efficiency using variable weighted sample entropy. in Proceedings of SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology., 4654880, Proceedings of the SICE Annual Conference, pp. 1415-1418, SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology, Tokyo, Japan, 08/8/20. https://doi.org/10.1109/SICE.2008.4654880

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

Abstract

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Keywords

ASJC Scopus subject areas

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