Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
- Autores
- Zunino, Luciano José; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío G.; Rosso, Osvaldo A.
- 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.
Facultad de Ingeniería
Centro de Investigaciones Ópticas - Materia
-
Ingeniería
Física
Complexity-entropy causality plane
Bandt and Pompe method
Stock market inefficiency - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by-nc-sa/4.0/
- Repositorio
.jpg)
- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/128854
Ver los metadatos del registro completo
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Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiencyZunino, Luciano JoséZanin, MassimilianoTabak, Benjamin M.Pérez, Darío G.Rosso, Osvaldo A.IngenieríaFísicaComplexity-entropy causality planeBandt and Pompe methodStock market inefficiencyThe 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.Facultad de IngenieríaCentro de Investigaciones Ópticas2010-05info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdf1891-1901http://sedici.unlp.edu.ar/handle/10915/128854enginfo:eu-repo/semantics/altIdentifier/issn/0378-4371info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2010.01.007info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:30:57Zoai:sedici.unlp.edu.ar:10915/128854Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:30:57.935SEDICI (UNLP) - Universidad Nacional de La Platafalse |
| 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 Ingeniería Física 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 G. Rosso, Osvaldo A. |
| author |
Zunino, Luciano José |
| author_facet |
Zunino, Luciano José Zanin, Massimiliano Tabak, Benjamin M. Pérez, Darío G. Rosso, Osvaldo A. |
| author_role |
author |
| author2 |
Zanin, Massimiliano Tabak, Benjamin M. Pérez, Darío G. Rosso, Osvaldo A. |
| author2_role |
author author author author |
| dc.subject.none.fl_str_mv |
Ingeniería Física Complexity-entropy causality plane Bandt and Pompe method Stock market inefficiency |
| topic |
Ingeniería Física Complexity-entropy causality plane Bandt and Pompe method Stock market inefficiency |
| 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. Facultad de Ingeniería Centro de Investigaciones Ópticas |
| 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 |
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2010-05 |
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eng |
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