Toward a theory of marginally efficient markets

Physica A: Statistical Mechanics and its Applications

Volumn 269, Issue 1, 1999, Pages 30-44

  Zhang, Yi Cheng ^a  

^a UNIVERSITY OF FRIBOURG   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; GAME THEORY; INDUSTRIAL ECONOMICS; PROBABILITY;

CONDITIONAL ENTROPY CONCEPT; EFFICIENT MARKET HYPOTHESIS (EMH);

STATISTICAL MECHANICS;

EID: 0032631587     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(99)00077-1     Document Type: Article

References (18)

1. L. Bachelier, Theory of speculation (reprint (1900)), in: P. Cootner (Ed.), Random Character of Stock Prices, MIT Press, Cambridge, 1964.
2. Samuelson P. Proof that properly anticipated prices fluctuate randomly. Ind. Manage. Rev. 6:1965;41.
3. J.Y. Campbell, A.W. Lo, A.C. MacKinlay, The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ, 1997.
4. Fama E. J. Finance. 25:1970;383.
5. Challet D., Zhang Y.-C. Physica A. 246:1997;407.
6. R. Savit, R. Manuca, R. Riolo, preprint adap-org /9712006 .
7. Zhang Y.-C. Europhys. News. 29:1998;51.
8. N. Johnson et al., preprint cond-mat /9802177 .
9. E. Elton, M. Gruber, Modern Portfolio Theory and Investment Analysis, Wiley, New York, 1995.
10. Sharpe W. J. Finance. 19:1964;425.
11. C. Shannon, W. Weaver, The Mathmatical Theory of Communication, Illinois University Press, 1949.
12. Kelly J.L. Jr. Bell Syst. Tech. J. 35:1956;917.
13. Maslov S., Zhang Y.-C. Int. J. Theor. Appl. Finance. 1:1998;377.
14. M. O'Hara, Market Microstructure Theory, Blackwell, Oxford, 1995.
15. J.-P. Bouchaud, R. Cont, preprint cond-mat /9801279 .
16. A. Kempf, O. Korn, Market depth and order size, Proceedings of HFDF-II, Zurich, 1998.
17. Y.-C. Zhang, Market Dynamics, in preparation.
18. R. Shiller, Market Volatility, MIT Press, Cambridge, MA, 1997.