Artículo
An information theory perspective on the informational efficiency of gold price
Fernández Bariviera, Aurelio; Font-Ferrer, Alejandro; Sorrosal-Forradellas, M. Teresa; Rosso, Osvaldo Aníbal
Fecha de publicación:
11/2019
Editorial:
Elsevier Inc
Revista:
North American Journal of Economics and Finance
ISSN:
1062-9408
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This paper studies the informational efficiency of the gold market, and its variability due to economic distress situations. The period under study goes from 1968 until 2017. We use quantifiers derived from Information Theory in order to analyze the stochastic dynamics of gold price. In particular, we use permutation entropy, permutation statistical complexity and Fisher Information Measure, to assess the time varying dynamics of price time series. We find that the stochastic regime in the time series exhibits three distinct dynamics, roughly divided in years 1968–1981, 1981–2003, 2003–2017. Additionally, informational efficiency is affected by major economic and political events. Finally, we detect a strong persistence in volatility.
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Colecciones
Articulos (IMTIB)
Articulos de INSTITUTO DE MEDICINA TRASLACIONAL E INGENIERIA BIOMEDICA
Articulos de INSTITUTO DE MEDICINA TRASLACIONAL E INGENIERIA BIOMEDICA
Citación
Fernández Bariviera, Aurelio; Font-Ferrer, Alejandro; Sorrosal-Forradellas, M. Teresa; Rosso, Osvaldo Aníbal; An information theory perspective on the informational efficiency of gold price; Elsevier Inc; North American Journal of Economics and Finance; 50; 11-2019; 1-13
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