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

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