| Title: | Collective dynamics of stock market effciency |
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| Authors: | ID Alves, Luiz G. A. (Author)
ID Sigaki, Higor Y. D. (Author)
ID Perc, Matjaž (Author)
ID Ribeiro, Haroldo V. (Author) |
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| Files: |  Alves-2020-Collective_dynamics_of_stock_market.pdf (2,58 MB)
MD5: 152DDDF1D0880AE8E5B1A24AA56A4AFE
 https://doi.org/10.1038/s41598-020-78707-2
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| Language: | English |
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| Work type: | Scientific work |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | FNM - Faculty of Natural Sciences and Mathematics
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| Abstract: | Summarized by the efcient market hypothesis, the idea that stock prices fully refect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the efciency of stock markets, most studies assume this efciency to be constant over time so that its dynamical and collective aspects remain poorly understood. Here we defne the time-varying efciency of stock markets by calculating the permutation entropy within sliding time-windows of log-returns of stock market indices. We show that major world stock markets can be hierarchically classifed into several groups that display similar long-term efciency profles. However, we also show that efciency ranks and clusters of markets with similar trends are only stable for a few months at a time. We thus propose a network representation of stock markets that aggregates their short-term efciency patterns into a global and coherent picture. We fnd this fnancial network to be strongly entangled while also having a modular structure that consists of two distinct groups of stock markets. Our results suggest that stock market efciency is a collective phenomenon that can drive its operation at a high level of informational efciency, but also places the entire system under risk of failure. |
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| Keywords: | collective dynamics, social physics, econophysics, stock market |
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| Publication status: | Published |
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| Publication version: | Version of Record |
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| Submitted for review: | 04.09.2020 |
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| Article acceptance date: | 30.11.2020 |
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| Publication date: | 15.12.2020 |
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| Publisher: | Nature Publishing Group |
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| Year of publishing: | 2020 |
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| Number of pages: | Str. 1-10 |
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| Numbering: | Letn. 10, št. članka 21992 |
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| PID: | 20.500.12556/DKUM-91541  |
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| UDC: | 53 |
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| ISSN on article: | 2045-2322 |
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| COBISS.SI-ID: | 43334915 |
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| DOI: | 10.1038/s41598-020-78707-2 |
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| Publication date in DKUM: | 14.01.2025 |
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| Views: | 195 |
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| Downloads: | 16 |
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| Metadata: |    |
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| Categories: | Misc.
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