Artículo

Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency

Zunino, Luciano JoséIcon ; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío Gabriel; Rosso, Osvaldo AnibalIcon
Fecha de publicación: 05/2010
Editorial: Elsevier Science
Revista: Physica A: Statistical Mechanics and its Applications
ISSN: 0378-4371
Idioma: Inglés
Tipo de recurso: Artículo publicado
Clasificación temática:

Resumen

The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, M.A. Fuentes, Distinguishing noise from chaos, Phys. Rev. Lett. 99 (2007) 154102]. We propose to use this representation space to distinguish the stage of stock market development. Our empirical results demonstrate that this statistical physics approach is useful, allowing a more refined classification of stock market dynamics.
Palabras clave: COMPLEXITY-ENTROPY CAUSALITY PLANE , BANDT AND POMPE METHOD , STOCK MARKET INEFFICIENCY
 
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info:eu-repo/semantics/openAccess Excepto donde se diga explícitamente, este item se publica bajo la siguiente descripción: Creative Commons Attribution-NonCommercial-ShareAlike 2.5 Unported (CC BY-NC-SA 2.5)
Identificadores
URI: http://hdl.handle.net/11336/188483
DOI: http://dx.doi.org/10.1016/j.physa.2010.01.007
URL: https://www.sciencedirect.com/science/article/abs/pii/S0378437110000397
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Citación
Zunino, Luciano José; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío Gabriel; Rosso, Osvaldo Anibal; Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 389; 9; 5-2010; 1891-1901
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