This study examines the adaptive market hypothesis (AMH) in Japanese stock markets (TOPIX and TSE2). In particular, we measure the degree of market efficiency by using a time-varying model approach. The empirical results show that (1) the degree of market efficiency changes over time in the two markets, (2) the level o…
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3 results for “TOPIX”
A diversified portfolio is created by solving the MIS problem in large market graphs, outperforming conventional methods.
problem Finding the maximum independent set (MIS) in large-scale market graphs is computationally challenging.
method Solved the MIS problem using a quantum-inspired algorithm (Simulated Bifurcation) and a combinatorial optimization solver.
result The SB-based solver optimized MIS portfolios, achieving a Sharpe ratio of 1.16 and outperforming major indices.
A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changesq-fin.TR
Study examines tick size changes' impact on Japanese stock market efficiency.
problem Intended and unintended consequences of TOPIX tick size changes.
method Analyzed security-level metrics and real order execution costs.
result Unintended reduction in execution sizes for large orders.