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

Luciano Zunino, Massimiliano Zanin, Benjamin M. Tabak, Darío G. Pérez, Osvaldo A. Rosso

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

147 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)1891-1901
Número de páginas11
PublicaciónPhysica A: Statistical Mechanics and its Applications
Volumen389
N.º9
DOI
EstadoPublicada - 1 may. 2010
Publicado de forma externa

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