摘要翻译:
我们调查了金融市场数据,以确定哪些因素影响股票之间的信息流动。在对韩国、日本、台湾、加拿大和美国市场数据的分析中,考虑了时间依赖性和效率程度两个因素。我们发现显着信息的频率随着时间间隔的增加而减少。然而,在去除时间相关性的时间序列中,没有观察到显著的信息流。这些结果表明,股票之间的信息流具有时间依赖性。此外,我们发现效率程度的差异在决定重要信息流的方向上起着至关重要的作用。
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英文标题:
《Effects of time dependency and efficiency on information flow in
financial markets》
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作者:
Cheoljun Eom, Woo-Sung Jung, Sunghoon Choi, Gabjin Oh, Seunghwan Kim
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最新提交年份:
2008
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese, the Canadian, and US market data. We found that the frequency of the significant information decreases as the time interval increases. However, no significant information flow was observed in the time series from which the temporal time correlation was removed. These results indicated that the information flow between stocks evidences time-dependency properties. Furthermore, we discovered that the difference in the degree of efficiency performs a crucial function in determining the direction of the significant information flow.
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PDF链接:
https://arxiv.org/pdf/0802.1500