INVESTIGADORES
ROSSO Osvaldo Anibal
artículos
Título:
Forbidden patterns, permutation entropy and stock market inefficiency
Autor/es:
L. ZUNINO; M. ZANIN; B. M. TABAK; D. PERÉZ; O. A. ROSSO
Revista:
PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS
Editorial:
Elsevier Science
Referencias:
Año: 2009 vol. 388 p. 2854 - 2864
ISSN:
0378-4371
Resumen:
In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are modelindependent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented.
