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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2010
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| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v389_n9_p1891_Zunino http://hdl.handle.net/20.500.12110/paper_03784371_v389_n9_p1891_Zunino |
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paper:paper_03784371_v389_n9_p1891_Zunino2023-06-08T15:40:13Z Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce 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. © 2010 Elsevier B.V. All rights reserved. 2010 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v389_n9_p1891_Zunino http://hdl.handle.net/20.500.12110/paper_03784371_v389_n9_p1891_Zunino |
| institution |
Universidad de Buenos Aires |
| institution_str |
I-28 |
| repository_str |
R-134 |
| collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
| topic |
Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce |
| spellingShingle |
Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency |
| topic_facet |
Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce |
| 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. © 2010 Elsevier B.V. All rights reserved. |
| 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 |
https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v389_n9_p1891_Zunino http://hdl.handle.net/20.500.12110/paper_03784371_v389_n9_p1891_Zunino |
| _version_ |
1768544689504387072 |