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

被引：191
作者：
Zunino, Luciano [1 ,2 ,3 ]
Zanin, Massimiliano [4 ]
Tabak, Benjamin M. [5 ,6 ]
Perez, Dario G. [7 ]
Rosso, Osvaldo A. [8 ,9 ]
机构：
[1] UIB, CSIC, IFISC, E-07122 Palma de Mallorca, Spain
[2] CIC, CONICET La Plata, Ctr Invest Opt, RA-1897 Gonnet, Argentina
[3] UNLP, Fac Ingn, Dept Ciencias Basicas, RA-1900 La Plata, Argentina
[4] Univ Autonoma Madrid, E-28049 Madrid, Spain
[5] Banco Cent Brasil SBS Quadra 3, BR-70074900 Brasilia, DF, Brazil
[6] Univ Catolica Brasilia, Brasilia, DF, Brazil
[7] PUCV, Inst Fis, Valparaiso 2340025, Chile
[8] Univ Fed Minas Gerais, Inst Ciencias Exatas Fis, BR-31270901 Belo Horizonte, MG, Brazil
[9] Univ Buenos Aires, Fac Ciencias Exactas & Nat, Inst Calculo, Chaos & Biol Grp, RA-1428 Buenos Aires, DF, Argentina
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2010年 / 389卷 / 09期
关键词：
Complexity-entropy causality plane; Bandt and Pompe method; Stock market inefficiency; FINANCIAL TIME-SERIES; LOCAL HURST EXPONENT; PERMUTATION ENTROPY; STATISTICAL COMPLEXITY; RANKING EFFICIENCY; EMERGING MARKETS; EQUITY MARKETS; VOLATILITY; PREDICTABILITY; PREDICTION;
D O I：
10.1016/j.physa.2010.01.007
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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. Martin, 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. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：1891 / 1901
页数：11
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