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

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

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 9, 1891-1901

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.

Keywords: Complexity-entropy causality plane; Bandt and Pompe method; Stock market inefficiency (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (73)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:9:p:1891-1901

DOI: 10.1016/j.physa.2010.01.007

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