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Physicist’s Point of View on the Way to Equilibrium and Efficiency of Stock Market
https://doi.org/10.32609/0042-8736-2009-11-82-89
Abstract
The article provides a new method for testing the efficient market hypothesis in its weak form. A special model of stock market is built to estimate correlation functions. The main result is that the dynamics of share prices is close to the random walk but could be better described by a more sophisticated law of distribution. The market processes new information with a certain lag but its reaction is fast enough. Share prices reflect exogenous shocks much quicker than endogenous ones.
About the Author
A. Leonidov
P. N. Lebedev Physical Institute of the Russian Academy of Sciences
Russian Federation
Russian Federation
References
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Review
For citations:
Leonidov A. Physicist’s Point of View on the Way to Equilibrium and Efficiency of Stock Market. Voprosy Ekonomiki. 2009;(11):82-89. (In Russ.) https://doi.org/10.32609/0042-8736-2009-11-82-89
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