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.
|Number of pages||11|
|Journal||Physica A: Statistical Mechanics and its Applications|
|State||Published - 1 May 2010|
- Bandt and Pompe method
- Complexity-entropy causality plane
- Stock market inefficiency