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Physicist’s Point of View on the Way to Equilibrium and Efficiency of Stock Market

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  • A. Leonidov

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.

Suggested Citation

  • A. Leonidov, 2009. "Physicist’s Point of View on the Way to Equilibrium and Efficiency of Stock Market," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 11.
    • Handle: RePEc:nos:voprec:y:2009:id:949
    DOI: 10.32609/0042-8736-2009-11-82-89
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