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Evolution of Information Efficiency in Emerging Markets

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Soft Computing Models in Industrial and Environmental Applications, 6th International Conference SOCO 2011

Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 87))

Abstract

In the article we investigate the informational efficiency of Nasdaq OMX Baltic stock exchange by applying Shannon’s entropy measure for symbolized time series. The complexity of the problem of market efficiency evaluation has lead to application of various soft computing methods and to even contradictory outcomes confirming or denying the efficient market hypothesis. The goal of the article is to explore the possibilities of quantitative evaluation of market effectiveness, by presenting the computational method and its experimental research for the financial data of the emerging Baltic market. The computations were performed for different time spans and symbolic word lengths. The research results allowed to conclude that the efficiency of Baltic market strongly falls behind the developed countries, and it raises expectations for modelling profitable trading strategies. Application of the entropy measure allows to explore the evolution of the market efficiency and to apply the algorithm for predicting the forthcoming crises of financial markets.

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Author information

Authors and Affiliations

  1. Department of Informatics, Vilnius University, Muitines 8, 44280, Kaunas, Lithuania

    Virgilijus Sakalauskas & Dalia Kriksciuniene

Authors
  1. Virgilijus Sakalauskas
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  2. Dalia Kriksciuniene
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Editor information

Editors and Affiliations

  1. Universidad de Salamanca, Plaza de la Merced S/N, 37008, Salamanca, Spain

    Emilio Corchado

  2. VĹ B-TU Ostrava, 17. listopadu 15, 70833, Ostrava, Czech Republic

    Václav Snášel

  3. University of Burgos, Avenida Cantaria S/N, 09006, Burgos, Spain

    Javier Sedano

  4. Cairo University, 5 Ahmed Zewal St., Orman, Cairo, Egypt

    Aboul Ella Hassanien

  5. University of La Coruña, Avda. 19 de Febrero, S/N, A Coruña,, 15403, Ferrol, Spain

    José Luis Calvo

  6. Infobright, 47 Colborne Street, Suite 403, M5E1P8, Toronto, Ontario, Canada

    Dominik Ślȩzak

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© 2011 Springer-Verlag Berlin Heidelberg

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Sakalauskas, V., Kriksciuniene, D. (2011). Evolution of Information Efficiency in Emerging Markets. In: Corchado, E., Snášel, V., Sedano, J., Hassanien, A.E., Calvo, J.L., Ślȩzak, D. (eds) Soft Computing Models in Industrial and Environmental Applications, 6th International Conference SOCO 2011. Advances in Intelligent and Soft Computing, vol 87. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19644-7_39

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  • DOI: https://doi.org/10.1007/978-3-642-19644-7_39

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-19643-0

  • Online ISBN: 978-3-642-19644-7

  • eBook Packages: EngineeringEngineering (R0)

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