Relationship between efficiency and predictability in stock price change

被引：34
|
作者：
Eom, Cheoljun [1 ]
Oh, Gabjin [2 ]
Jung, Woo-Sung [3 ,4 ]
机构：
[1] Pusan Natl Univ, Div Business Adm, Pusan 609735, South Korea
[2] Pohang Univ Sci & Technol, Pohang Math Inst, Pohang 790784, South Korea
[3] Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA
[4] Boston Univ, Dept Phys, Boston, MA 02215 USA
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 22期
关键词：
Hurst exponent; approximate entropy; nearest neighbor prediction; efficient market hypothesis;
D O I：
10.1016/j.physa.2008.05.059
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this study, we evaluate the relationship between efficiency and predictability in the stock market. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using the Hurst exponent and the approximate entropy (ApEn). The predictability corresponds to the hit-rate; this is the rate of consistency between the direction of the actual price change and that of the predicted price change, as calculated via the nearest neighbor prediction method. We determine that the Hurst exponent and the ApEn value are negatively correlated. However, predictability is positively correlated with the Hurst exponent. (C) 2008 Elsevier B.V. All rights reserved.
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页码：5511 / 5517
页数：7
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