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dc.contributor.author
Fernández Bariviera, Aurelio
dc.contributor.author
Font-Ferrer, Alejandro
dc.contributor.author
Sorrosal-Forradellas, M. Teresa
dc.contributor.author
Rosso, Osvaldo Aníbal
dc.date.available
2020-07-30T19:51:53Z
dc.date.issued
2019-11
dc.identifier.citation
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
dc.identifier.issn
1062-9408
dc.identifier.uri
http://hdl.handle.net/11336/110602
dc.description.abstract
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.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
Elsevier Inc
dc.rights
info:eu-repo/semantics/restrictedAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
ECONOMIC CRISIS
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FISHER INFORMATION MEASURE
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GOLD
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PERMUTATION ENTROPY
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STATISTICAL COMPLEXITY
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Otras Ciencias Físicas
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Ciencias Físicas
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CIENCIAS NATURALES Y EXACTAS
dc.title
An information theory perspective on the informational efficiency of gold price
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2020-04-24T17:46:16Z
dc.journal.volume
50
dc.journal.pagination
1-13
dc.journal.pais
Estados Unidos
dc.description.fil
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España. Universidad del Pacífico; Perú
dc.description.fil
Fil: Font-Ferrer, Alejandro. Universitat Rovira I Virgili; España
dc.description.fil
Fil: Sorrosal-Forradellas, M. Teresa. Universitat Rovira I Virgili; España
dc.description.fil
Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidade Federal de Alagoas; Brasil. Hospital Italiano. Departamento de Informática En Salud.; Argentina
dc.journal.title
North American Journal of Economics and Finance
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.najef.2019.101018
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S1062940818304534
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