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

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 9, 2010, Pages 1891-1901

  Zunino, Luciano ^a,b,c   Zanin, Massimiliano ^d   Tabak, Benjamin M ^e,f   Pérez, Darío G ^g   Rosso, Osvaldo A ^h,i  

^a INSTITUTO DE FÍSICA INTERDISCIPLINAR Y SISTEMAS COMPLEJOS IFISC CSIC UIB   (Spain)

^b Centro de Investigaciones Ópticas ^*  (Argentina)

^c UNIVERSIDAD NACIONAL DE LA PLATA   (Argentina)

^d UNIVERSIDAD AUTÓNOMA DE MADRID   (Spain)

^e BANCO CENTRAL DO BRASIL   (Brazil)

^f UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

^g PONTIFICIA UNIVERSIDAD CATÓLICA DE VALPARAÍSO   (Chile)

^h FEDERAL UNIVERSITY OF MINAS GERAIS   (Brazil)

ⁱ INSTITUTO DE CÁLCULO   (Argentina)

Author keywords

Bandt and Pompe method; Complexity entropy causality plane; Stock market inefficiency

Indexed keywords

COMMERCE; ENTROPY; GAUSSIAN NOISE (ELECTRONIC); STATISTICAL PHYSICS;

BANDT AND POMPE METHOD; COMPLEXITY-ENTROPY CAUSALITY PLANE; GAUSSIANS; MARKET DEVELOPMENT; MARKET INEFFICIENCIES; NON-GAUSSIAN PROCESS; REPRESENTATION SPACE; STOCK MARKET DYNAMICS;

FINANCIAL MARKETS;

EID: 76549111004     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.01.007     Document Type: Article

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