CIOP 05384
CENTRO DE INVESTIGACIONES OPTICAS
Unidad Ejecutora - UE
artículos
Título:
Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency
Autor/es:
LUCIANO ZUNINO; MASSIMILIANO ZANIN; BENJAMIN M. TABAK; DARÍO G. PÉREZ; OSVALDO A. ROSSO
Revista:
PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS
Editorial:
ELSEVIER SCIENCE BV
Referencias:
Lugar: Amsterdam, The Netherlands; 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 [Rosso et al., 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.
