TY - GEN
T1 - Realtime estmation of the degree of market efficiency using variable weighted sample entropy
AU - Sugisaki, Koichi
AU - Ohmori, Hiromitsu
PY - 2008
Y1 - 2008
N2 - 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.
AB - 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.
KW - Market crash
KW - Market efficiency
KW - Real-time
KW - Sample entropy
UR - http://www.scopus.com/inward/record.url?scp=56749184269&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=56749184269&partnerID=8YFLogxK
U2 - 10.1109/SICE.2008.4654880
DO - 10.1109/SICE.2008.4654880
M3 - Conference contribution
AN - SCOPUS:56749184269
SN - 9784907764296
T3 - Proceedings of the SICE Annual Conference
SP - 1415
EP - 1418
BT - Proceedings of SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology
T2 - SICE Annual Conference 2008 - International Conference on Instrumentation, Control and Information Technology
Y2 - 20 August 2008 through 22 August 2008
ER -