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

Autores
Zunino, Luciano José; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío Gabriel; Rosso, Osvaldo Anibal
Año de publicación
2010
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Zunino, Luciano José. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Consejo Superior de Investigaciones Científicas. Instituto de Física Interdisciplinar y Sistemas Complejos; España. Universidad Nacional de La Plata; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata; Argentina
Fil: Zanin, Massimiliano. Universidad Autónoma de Madrid; España
Fil: Tabak, Benjamin M.. Universidade do Brasília; Brasil
Fil: Pérez, Darío Gabriel. Pontificia Universidad Católica de Valparaíso; Chile
Fil: Rosso, Osvaldo Anibal. Universidade Federal de Minas Gerais; Brasil. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Cálculo; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
COMPLEXITY-ENTROPY CAUSALITY PLANE
BANDT AND POMPE METHOD
STOCK MARKET INEFFICIENCY
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/188483
Acceder
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repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiencyZunino, Luciano JoséZanin, MassimilianoTabak, Benjamin M.Pérez, Darío GabrielRosso, Osvaldo AnibalCOMPLEXITY-ENTROPY CAUSALITY PLANEBANDT AND POMPE METHODSTOCK MARKET INEFFICIENCYhttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1The 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.Fil: Zunino, Luciano José. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Consejo Superior de Investigaciones Científicas. Instituto de Física Interdisciplinar y Sistemas Complejos; España. Universidad Nacional de La Plata; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata; ArgentinaFil: Zanin, Massimiliano. Universidad Autónoma de Madrid; EspañaFil: Tabak, Benjamin M.. Universidade do Brasília; BrasilFil: Pérez, Darío Gabriel. Pontificia Universidad Católica de Valparaíso; ChileFil: Rosso, Osvaldo Anibal. Universidade Federal de Minas Gerais; Brasil. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Cálculo; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaElsevier Science2010-05info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/188483Zunino, Luciano José; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío Gabriel; Rosso, Osvaldo Anibal; Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 389; 9; 5-2010; 1891-19010378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2010.01.007info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0378437110000397info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:34:34Zoai:ri.conicet.gov.ar:11336/188483instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:34:35.105CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
title Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
spellingShingle Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
Zunino, Luciano José
COMPLEXITY-ENTROPY CAUSALITY PLANE
BANDT AND POMPE METHOD
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
dc.creator.none.fl_str_mv Zunino, Luciano José
Zanin, Massimiliano
Tabak, Benjamin M.
Pérez, Darío Gabriel
Rosso, Osvaldo Anibal
author Zunino, Luciano José
author_facet Zunino, Luciano José
Zanin, Massimiliano
Tabak, Benjamin M.
Pérez, Darío Gabriel
Rosso, Osvaldo Anibal
author_role author
author2 Zanin, Massimiliano
Tabak, Benjamin M.
Pérez, Darío Gabriel
Rosso, Osvaldo Anibal
author2_role author
author
author
author
dc.subject.none.fl_str_mv COMPLEXITY-ENTROPY CAUSALITY PLANE
BANDT AND POMPE METHOD
STOCK MARKET INEFFICIENCY
topic COMPLEXITY-ENTROPY CAUSALITY PLANE
BANDT AND POMPE METHOD
STOCK MARKET INEFFICIENCY
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv 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.
Fil: Zunino, Luciano José. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas; Argentina. Consejo Superior de Investigaciones Científicas. Instituto de Física Interdisciplinar y Sistemas Complejos; España. Universidad Nacional de La Plata; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata; Argentina
Fil: Zanin, Massimiliano. Universidad Autónoma de Madrid; España
Fil: Tabak, Benjamin M.. Universidade do Brasília; Brasil
Fil: Pérez, Darío Gabriel. Pontificia Universidad Católica de Valparaíso; Chile
Fil: Rosso, Osvaldo Anibal. Universidade Federal de Minas Gerais; Brasil. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Instituto de Cálculo; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
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.
publishDate 2010
dc.date.none.fl_str_mv 2010-05
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/188483
Zunino, Luciano José; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío Gabriel; Rosso, Osvaldo Anibal; Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 389; 9; 5-2010; 1891-1901
0378-4371
CONICET Digital
CONICET
url http://hdl.handle.net/11336/188483
identifier_str_mv Zunino, Luciano José; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío Gabriel; Rosso, Osvaldo Anibal; Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 389; 9; 5-2010; 1891-1901
0378-4371
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2010.01.007
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/abs/pii/S0378437110000397
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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