Realtime estimation of the degree of market efficiency using variable weighted Sample Entropy

Author

Sugisaki, Koichi ; Ohmori, Hiromitsu

Author_Institution

Sch. of Integrated Design Eng., Keio Univ., Yokohoma

fYear

2008

fDate

20-22 Aug. 2008

Firstpage

1415

Lastpage

1418

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 (EMI), in particular the weak-form of EMI. 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.

Keywords

marketing; random processes; time series; Asian Currency Crisis; Asian market; Black Monday; EMI; econophysics; efficient market hypothesis; financial time series; market efficiency; realtime estimation; sample entropy; variable weighted SampEn algorithm; variable weighted sample entropy; Computer crashes; Design engineering; Distribution functions; Econophysics; Electric breakdown; Entropy; State estimation; Systems engineering and theory; Time measurement; Time series analysis; Market Crash; Market Efficiency; Real-time; Sample Entropy;

fLanguage

English

Publisher

ieee

Conference_Titel

SICE Annual Conference, 2008

Conference_Location

Tokyo

Print_ISBN

978-4-907764-30-2

Electronic_ISBN

978-4-907764-29-6

Type

conf

DOI

10.1109/SICE.2008.4654880

Filename

4654880