TY - JOUR
T1 - Complexity-entropy causality plane
T2 - A useful approach to quantify the stock market inefficiency
AU - Zunino, Luciano
AU - Zanin, Massimiliano
AU - Tabak, Benjamin M.
AU - Pérez, Darío G.
AU - Rosso, Osvaldo A.
N1 - Funding Information:
Luciano Zunino and Osvaldo A. Rosso were supported by Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET), Argentina. Benjamin M. Tabak gratefully acknowledges financial support from CNPq foundation. The opinions expressed in the paper do not necessarily reflect those of the Banco Central do Brasil. Darío G. Pérez was supported by Comisión Nacional de Investigación Científica y Tecnológica (CONICYT, FONDECYT project No. 11060512), Chile, and partially by Pontificia Universidad Católica de Valparaíso (PUCV, Project No. 123. 788/2007), Chile. The authors are very grateful to the reviewers, whose comments and suggestions helped to improve an earlier version of this paper.
PY - 2010/5/1
Y1 - 2010/5/1
N2 - 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.
AB - 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.
KW - Bandt and Pompe method
KW - Complexity-entropy causality plane
KW - Stock market inefficiency
UR - http://www.scopus.com/inward/record.url?scp=76549111004&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2010.01.007
DO - 10.1016/j.physa.2010.01.007
M3 - Article
AN - SCOPUS:76549111004
SN - 0378-4371
VL - 389
SP - 1891
EP - 1901
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 9
ER -