INVESTIGADORES
ROSSO Osvaldo Anibal
artículos
Título:
Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency
Autor/es:
L. ZUNINO; M. ZANIN; B. M. TABAK; D. G. PERÉZ; O. A. ROSSO
Revista:
PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS
Editorial:
Elsevier Science
Referencias:
Año: 2010 vol. 389 p. 1891 - 1901
ISSN:
0378-4371
Resumen:
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.