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Quantitative Finance > Computational Finance

Title: Analysis of market efficiency in main stock markets: using Karman-Filter as an approach

Abstract: In this study, we utilize the Kalman-Filter analysis to assess market efficiency in major stock markets. The Kalman-Filter operates in two stages, assuming that the data contains a consistent trendline representing the true market value prior to being affected by noise. Unlike traditional methods, it can forecast stock price movements effectively. Our findings reveal significant portfolio returns in emerging markets such as Korea, Vietnam, and Malaysia, as well as positive returns in developed markets like the UK, Europe, Japan, and Hong Kong. This suggests that the Kalman-Filter-based price reversal indicator yields promising results across various market types.
Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)
Cite as: arXiv:2404.16449 [q-fin.CP]
  (or arXiv:2404.16449v1 [q-fin.CP] for this version)

Submission history

From: Beier Liu [view email]
[v1] Thu, 25 Apr 2024 09:30:03 GMT (1257kb,D)

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