Quantitative Measure of Stock Market Information Efficiency

Student: Shirokikh Elena

Supervisor: Evgeny Ilyin

Faculty: Faculty of World Economy and International Affairs

Educational Programme: Bachelor

Year of Graduation: 2014

Nowadays there exist a multitude of market efficiency estimation methods; however, the results obtained by them frequently differ. For this reason the present paper is devoted to the comparative analysis of four quantitative methods of measuring stock markets informational efficiency, namely approximate entropy, Kullback-Leibler divergence, Hurst exponent, and Shannon entropy.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses