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Violation of market efficiency in transition economies

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  • Boris Podobnik
  • Ivo Grosse
  • Davor Horvatic
  • Plamen Ch Ivanov
  • Timotej Jagric
  • H. E. Stanley

Abstract

We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time series with all the previous features found in the empirical data.

Suggested Citation

  • Boris Podobnik & Ivo Grosse & Davor Horvatic & Plamen Ch Ivanov & Timotej Jagric & H. E. Stanley, 2006. "Violation of market efficiency in transition economies," Papers physics/0608022, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0608022
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