Effects of time dependency and efficiency on information flow in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 21, 2008, Pages 5219-5224

  Eom, Cheoljun ^a   Jung, Woo Sung ^b   Choi, Sunghoon ^a   Oh, Gabjin ^c   Kim, Seunghwan ^c,d  

^a Pusan National University   (South Korea)

^b Boston University   (United States)

^c Pohang University of Science and Technology (POSTECH)   (South Korea)

^d Asia Pacific Center for Theoretical Physics (APCTP)   (South Korea)

Author keywords

Approximate entropy; Econophysics; Efficiency; Information flow; Time dependency

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; TIME SERIES ANALYSIS;

(PL) PROPERTIES; ELSEVIER (CO); FINANCIAL MARKETS; INFORMATION FLOWS; MARKET DATA; TIME CORRELATIONS; TIME DEPENDENCY (IGC: G6); TIME INTERVALS; TIME SERIES;

FINANCIAL DATA PROCESSING;

EID: 47649092184     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.05.054     Document Type: Article

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