3 papers
q-fin.GN2018
Quantification of market efficiency based on informational-entropy
Roland Rothenstein
Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universa…
cond-mat.stat-mech2004
Limited profit in predictable stock markets
R. Rothenstein, K. Pawelzik
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a suffici…
nlin.AO2002
Evolution and anti-evolution in a minimal stock market model
R. Rothenstein, K. Pawelzik
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters tha…