Title:	IS MARKET EFFICIENCY ENHANCED IN SUB-SECOND TRADING MARKET?
Author(s):	Mieko Tanaka-Yamawaki, Yumihiko S. Ikura and Masanori Yamanaka
ISBN:	978-989-8533-80-7
Editors:	Ajith P. Abraham, Jörg Roth and Guo Chao Peng
Year:	2018
Edition:	Single
Keywords:	Stock Time Series; Arrowhead Market, Statistical Distribution, Scaling Phenomena, Market Efficiency
Type:	Full Paper
First Page:	3
Last Page:	10
Language:	English
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Paper Abstract:	In order to clarify the long-standing question on the statistical nature of price fluctuation, we explore ultrafast time series of the newly developed stock trading system called “arrowhead trading system” in Tokyo Stock Exchange Market. The first question is whether the statistical distribution is Gaussian or non-Gaussian. If Gaussian, price fluctuation obeys the pure random walk and there is practically no room to discuss how to win the market. If it is non-Gaussian, the second question is whether it is a certain kind of stable distribution or not. If it is one of the stable distributions, the third question is to determine the index characterizing the stable distribution. However, even more interesting question is whether such a question makes sense only in a limited time range or not. Following the scaling method developed by Mantegna and Stanley for one-minute data of American stocks, we analyze the 5 second Japanese stocks and 0.1second Japanese stocks and compare them. It is shown that the empirical distributions obtained in our study obey the scaling law of the Lévy stable distribution of index ? ranging from 1.4 to 2.0.
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