The impact of patent activity on idiosyncratic volatility in U.S. pharmaceutical companies. [PDF]
PLoS OneAtilgan E +4 more
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Efficiency of the Moscow Stock Exchange before 2022. [PDF]
Entropy (Basel), 2022 Shternshis A, Mazzarisi P, Marmi S.
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ANALYSIS OF HIGH FREQUENCY DATA ON THE WARSAW STOCK EXCHANGE IN THE CONTEXT OF EFFICIENT MARKET HYPOTHESIS [PDF]
This paper focuses on one of the heavily tested issue in the contemporary finance, i.e. efficient market hypothesis (EMH). However, we try to find the answers to some fundamental questions basing on the analysis of high frequency (HF) data from the ...
Robert SLEPACZUK, Pawel STRAWINSKI
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Informational Content of the VIX Index: Dynamic Entropy Approach. [PDF]
Entropy (Basel)Olbryś J, Toczydłowski D.
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The Efficient Market Hypothesis: Is It Applicable to the Foreign Exchange Market? [PDF]
The study analyses the applicability of the efficient market hypothesis to the foreign exchange market by testing the profitability of the filter rule on the spot market. The significance of the returns was validated by comparing them to the returns from
Nguyen, James
core
Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]
PLoS OneHuynh TT, Khoa BT.
europepmc +1 more source
Revisiting the excess volatility puzzle through the lens of the Chiarella model. [PDF]
PLoS OneKurth JG, Majewski AA, Bouchaud JP.
europepmc +1 more source
Is It Possible to Earn Abnormal Return in an Inefficient Market? An Approach Based on Machine Learning in Stock Trading. [PDF]
Comput Intell Neurosci, 2021 Khoa BT, Huynh TT.
europepmc +1 more source
Quantifying the Linguistic Complexity of Pan-Homophonic Events in Stock Market Volatility Dynamics. [PDF]
Entropy (Basel)Zhang Y, Tian J, Zou Y, Zhang X, Cai X.
europepmc +1 more source
A Test of Weak-Form Market Efficiency in Australian Bank Bill Futures Calendar Spreads [PDF]
This paper demonstrates how the presence of a lower interest rate expectations detected in short-term interest rate futures during the 1990’s allowed arbitrage profits when trading intra-commodity spread differentials on the Sydney Futures Exchange’s 90 ...
John Anderson
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