CIOP   05384
CENTRO DE INVESTIGACIONES OPTICAS
Unidad Ejecutora - UE
congresos y reuniones científicas
Título:
Chaotic and random dynamics discrimination in financial time series
Autor/es:
LUCIANO ZUNINO; OSVALDO A. ROSSO; AURELIO FERNÁNDEZ BARIVIERA; M. BELÉN GUERCIO; LISANA B. MARTINEZ
Lugar:
Zaragoza
Reunión:
Workshop; NOMA´13 International Workshop on Nonlinear Maps and their Applications; 2013
Institución organizadora:
Universidad de Zaragoza, Facultad de Ciencias.
Resumen:
One of the richest fields for the application of econophysics methods is Finance. In particular, financial markets produces a large amount of ready-to-use time series, which could be subject to statistic scrutiny. The analysis of financial time series by means of permutation information quantifiers derived from Information Theory resulted of great value in order to distinguish random and chaotic paths. In this paper we describe the permutation entropy and permutation statistical complexity. Both metrics form a locus where each planar realization reveals a particular statistic characteristic of the time series under study. We give several successful applications of this methodology. We perform an econophysic application to the sovereign fixed income market.