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

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...

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Detalles Bibliográficos
Autores principales: Zunino, Luciano José, Zanin, Massimiliano, Tabak, Benjamin M., Pérez, Darío G., Rosso, Osvaldo A.
Formato: Articulo
Lenguaje:Inglés
Publicado: 2010
Materias:
Ingeniería
Física
Complexity-entropy causality plane
Bandt and Pompe method
Stock market inefficiency
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/128854
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-128854
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ingeniería
Física
Complexity-entropy causality plane
Bandt and Pompe method
Stock market inefficiency
spellingShingle Ingeniería
Física
Complexity-entropy causality plane
Bandt and Pompe method
Stock market inefficiency
Zunino, Luciano José
Zanin, Massimiliano
Tabak, Benjamin M.
Pérez, Darío G.
Rosso, Osvaldo A.
Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
topic_facet Ingeniería
Física
Complexity-entropy causality plane
Bandt and Pompe method
Stock market inefficiency
description 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.
format Articulo
Articulo
author Zunino, Luciano José
Zanin, Massimiliano
Tabak, Benjamin M.
Pérez, Darío G.
Rosso, Osvaldo A.
author_facet Zunino, Luciano José
Zanin, Massimiliano
Tabak, Benjamin M.
Pérez, Darío G.
Rosso, Osvaldo A.
author_sort Zunino, Luciano José
title Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_short Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_full Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_fullStr Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_full_unstemmed Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_sort complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency
publishDate 2010
url http://sedici.unlp.edu.ar/handle/10915/128854
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