Forbidden patterns, permutation entropy and stock market inefficiency

In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is pos...

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Detalles Bibliográficos
Autores principales: Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A.
Formato: JOUR
Materias:
Forbidden patterns
Permutation entropy
Stock market inefficiency
Empirical results
Physical tools
Entropy
Commerce
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_03784371_v388_n14_p2854_Zunino
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_03784371_v388_n14_p2854_Zunino
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spelling todo:paper_03784371_v388_n14_p2854_Zunino2023-10-03T15:32:54Z Forbidden patterns, permutation entropy and stock market inefficiency Zunino, L. Zanin, M. Tabak, B.M. Pérez, D.G. Rosso, O.A. Forbidden patterns Permutation entropy Stock market inefficiency Empirical results Forbidden patterns Permutation entropy Physical tools Stock market inefficiency Entropy Commerce In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented. © 2009 Elsevier B.V. All rights reserved. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03784371_v388_n14_p2854_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 Forbidden patterns
Permutation entropy
Stock market inefficiency
Empirical results
Forbidden patterns
Permutation entropy
Physical tools
Stock market inefficiency
Entropy
Commerce
spellingShingle Forbidden patterns
Permutation entropy
Stock market inefficiency
Empirical results
Forbidden patterns
Permutation entropy
Physical tools
Stock market inefficiency
Entropy
Commerce
Zunino, L.
Zanin, M.
Tabak, B.M.
Pérez, D.G.
Rosso, O.A.
Forbidden patterns, permutation entropy and stock market inefficiency
topic_facet Forbidden patterns
Permutation entropy
Stock market inefficiency
Empirical results
Forbidden patterns
Permutation entropy
Physical tools
Stock market inefficiency
Entropy
Commerce
description In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented. © 2009 Elsevier B.V. All rights reserved.
format JOUR
author Zunino, L.
Zanin, M.
Tabak, B.M.
Pérez, D.G.
Rosso, O.A.
author_facet Zunino, L.
Zanin, M.
Tabak, B.M.
Pérez, D.G.
Rosso, O.A.
author_sort Zunino, L.
title Forbidden patterns, permutation entropy and stock market inefficiency
title_short Forbidden patterns, permutation entropy and stock market inefficiency
title_full Forbidden patterns, permutation entropy and stock market inefficiency
title_fullStr Forbidden patterns, permutation entropy and stock market inefficiency
title_full_unstemmed Forbidden patterns, permutation entropy and stock market inefficiency
title_sort forbidden patterns, permutation entropy and stock market inefficiency
url http://hdl.handle.net/20.500.12110/paper_03784371_v388_n14_p2854_Zunino
work_keys_str_mv AT zuninol forbiddenpatternspermutationentropyandstockmarketinefficiency
AT zaninm forbiddenpatternspermutationentropyandstockmarketinefficiency
AT tabakbm forbiddenpatternspermutationentropyandstockmarketinefficiency
AT perezdg forbiddenpatternspermutationentropyandstockmarketinefficiency
AT rossooa forbiddenpatternspermutationentropyandstockmarketinefficiency
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