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

Luciano Zunino, Massimiliano Zanin, Benjamin M. Tabak, DARIO GABRIEL PEREZ , Osvaldo A. Rosso

Research output: Contribution to journalArticlepeer-review

131 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)1891-1901
Number of pages11
JournalPhysica A: Statistical Mechanics and its Applications
Volume389
Issue number9
DOIs
StatePublished - 1 May 2010

Keywords

  • Bandt and Pompe method
  • Complexity-entropy causality plane
  • Stock market inefficiency

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