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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| Sumario: | 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. |
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