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

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...

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Detalles Bibliográficos
Autores principales:	Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A.
Formato:	JOUR
Materias:	Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce
Acceso en línea:	http://hdl.handle.net/20.500.12110/paper_03784371_v389_n9_p1891_Zunino
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

id	todo:paper_03784371_v389_n9_p1891_Zunino
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spelling	todo:paper_03784371_v389_n9_p1891_Zunino2023-10-03T15:32:57Z Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency Zunino, L. Zanin, M. Tabak, B.M. Pérez, D.G. Rosso, O.A. Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce 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. © 2010 Elsevier B.V. All rights reserved. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03784371_v389_n9_p1891_Zunino
institution	Universidad de Buenos Aires
institution_str	I-28
repository_str	R-134
collection	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic	Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce
spellingShingle	Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce Zunino, L. Zanin, M. Tabak, B.M. Pérez, D.G. Rosso, O.A. Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
topic_facet	Bandt and Pompe method Complexity-entropy causality plane Stock market inefficiency Bandt and Pompe method Empirical results Gaussians Method complexity Non-Gaussian process Representation space Statistical physics Stock market Stock market dynamics Entropy Finance Gaussian noise (electronic) Commerce
description	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. © 2010 Elsevier B.V. All rights reserved.
format	JOUR
author	Zunino, L. Zanin, M. Tabak, B.M. Pérez, D.G. Rosso, O.A.
author_facet	Zunino, L. Zanin, M. Tabak, B.M. Pérez, D.G. Rosso, O.A.
author_sort	Zunino, L.
title	Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_short	Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_full	Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_fullStr	Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_full_unstemmed	Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title_sort	complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency
url	http://hdl.handle.net/20.500.12110/paper_03784371_v389_n9_p1891_Zunino
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Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency

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