{"title":"主要股票市场的市场效率分析:使用卡曼滤波器作为一种方法","authors":"Beier Liu, Haiyun Zhu","doi":"arxiv-2404.16449","DOIUrl":null,"url":null,"abstract":"In this study, we utilize the Kalman-Filter analysis to assess market\nefficiency in major stock markets. The Kalman-Filter operates in two stages,\nassuming that the data contains a consistent trendline representing the true\nmarket value prior to being affected by noise. Unlike traditional methods, it\ncan forecast stock price movements effectively. Our findings reveal significant\nportfolio returns in emerging markets such as Korea, Vietnam, and Malaysia, as\nwell as positive returns in developed markets like the UK, Europe, Japan, and\nHong Kong. This suggests that the Kalman-Filter-based price reversal indicator\nyields promising results across various market types.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"39 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Analysis of market efficiency in main stock markets: using Karman-Filter as an approach\",\"authors\":\"Beier Liu, Haiyun Zhu\",\"doi\":\"arxiv-2404.16449\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this study, we utilize the Kalman-Filter analysis to assess market\\nefficiency in major stock markets. The Kalman-Filter operates in two stages,\\nassuming that the data contains a consistent trendline representing the true\\nmarket value prior to being affected by noise. Unlike traditional methods, it\\ncan forecast stock price movements effectively. Our findings reveal significant\\nportfolio returns in emerging markets such as Korea, Vietnam, and Malaysia, as\\nwell as positive returns in developed markets like the UK, Europe, Japan, and\\nHong Kong. This suggests that the Kalman-Filter-based price reversal indicator\\nyields promising results across various market types.\",\"PeriodicalId\":501139,\"journal\":{\"name\":\"arXiv - QuantFin - Statistical Finance\",\"volume\":\"39 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-04-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Statistical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2404.16449\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2404.16449","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
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.