Artículo

Zunino, L.; Zanin, M.; Tabak, B.M.; Pérez, D.G.; Rosso, O.A. "Forbidden patterns, permutation entropy and stock market inefficiency" (2009) Physica A: Statistical Mechanics and its Applications. 388(14):2854-2864
La versión final de este artículo es de uso interno. El editor solo permite incluir en el repositorio el artículo en su versión post-print. Por favor, si usted la posee enviela a
Consulte el artículo en la página del editor
Consulte la política de Acceso Abierto del editor

Abstract:

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 model-independent 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. © 2009 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Forbidden patterns, permutation entropy and stock market inefficiency
Autor:Zunino, L.; Zanin, M.; Tabak, B.M.; Pérez, D.G.; Rosso, O.A.
Filiación:Centro de Investigaciones Ópticas, (CONICET La Plata - CIC), C.C. No. 3, 1897 Gonnet La Plata, Argentina
Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina
Departamento de Física, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata, Argentina
Universidad Autónoma de Madrid, 28049 Madrid, Spain
Banco Central do Brasil, SBS Quadra 3, Bloco B, 13 andar, DF 70074-900, Brazil
Universidade Catolica de Brasilia, Brasilia, DF, Brazil
Instituto de Física, Pontificia Universidad Católica de Valparaíso (PUCV). 23-40025 Valparaíso, Chile
Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, Hunter Medical Research Institute, School of Electrical Engineering and Computer Science, University Drive, Callaghan NSW 2308, Australia
Chaos and Biology Group, Instituto de Cálculo, Facultad de Ciencias Exactas y Naturales, Pabellon II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina
Palabras clave:Forbidden patterns; Permutation entropy; Stock market inefficiency; Empirical results; Forbidden patterns; Permutation entropy; Physical tools; Stock market inefficiency; Entropy; Commerce
Año:2009
Volumen:388
Número:14
Página de inicio:2854
Página de fin:2864
DOI: http://dx.doi.org/10.1016/j.physa.2009.03.042
Título revista:Physica A: Statistical Mechanics and its Applications
Título revista abreviado:Phys A Stat Mech Appl
ISSN:03784371
CODEN:PHYAD
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v388_n14_p2854_Zunino

Referencias:

  • Bachelier, L., (1900) Théorie de la spéculation, , Ph.D. thesis, Sorbonne, Paris
  • Fama, E.F., Efficient capital markets: a review of theory and empirical work (1970) J. Finance, 25, pp. 383-417
  • Groenewold, N., Tang, S.H.K., Wu, Y., The efficiency of the Chinese stock market and the role of the banks (2003) Journal of Asian Economies, 14, pp. 593-609
  • Laopodis, N.T., Fiscal policy and stock market efficiency: Evidence for the United States The Quarterly Review of Economics and Finance, , in press doi:10.1016/j.qref.2007.10.004
  • Coronel-Brizio, H.F., Hernández-Montoya, A.R., Huerta-Quintanilla, R., Rodríguez-Achach, M., Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations (2007) Physica A, 380, pp. 391-398
  • Cajueiro, D.O., Tabak, B.M., Evidence of long range dependence in Asian equity markets: the role of liquidity and market restriction (2004) Physica A, 342, pp. 656-664
  • Eom, C., Choi, S., Oh, G., Jung, W.-S., Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets (2008) Physica A, 387, pp. 4630-4636
  • Eom, C., Oh, G., Jung, W.-S., Relationship between efficiency and predictability in stock price change (2008) Physica A, 387, pp. 5511-5517
  • Grech, D., Mazur, Z., Can one make any crash prediction in finance using the local Hurst exponent idea? (2004) Physica A, 336, pp. 133-145
  • Cajueiro, D.O., Tabak, B.M., The Hurst exponent over time: Testing the assertion that emerging markets are becoming more efficient (2004) Physica A, 336, pp. 521-537
  • Cajueiro, D.O., Tabak, B.M., Ranking efficiency for emerging markets (2004) Chaos, Solitons & Fractals, 22, pp. 349-352
  • Cajueiro, D.O., Tabak, B.M., Ranking efficiency for emerging markets II (2005) Chaos, Solitons & Fractals, 23, pp. 671-675
  • Di Matteo, T., Aste, T., Dacorogna, M.M., Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2005) J. Banking & Finance, 29, pp. 827-851
  • Zunino, L., Tabak, B.M., Pérez, D.G., Garavaglia, M., Rosso, O.A., Inefficiency in Latin-American market indices (2007) Eur. Phys. J. B, 60, pp. 111-121
  • Grech, D., Pamuła, G., The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market (2008) Physica A, 387, pp. 4299-4308
  • Czarnecki, Ł., Grech, D., Pamuła, G., Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market (2008) Physica A, 387, pp. 6801-6811
  • Bassler, K.E., Gunaratne, G.H., McCauley, J.L., Markov processes, Hurst exponents, and nonlinear diffusion equations: With application to finance (2006) Physica A, 369, pp. 343-353
  • Stanley, H.E., Amaral, L.A.N., Canning, D., Gopikrishnan, P., Lee, Y., Liu, Y., Econophysics: Can physicists contribute to the science of economics? (1999) Physica A, 269, pp. 156-169
  • Plerou, V., Gopikrishnan, P., Rosenow, B., Amaral, L.A.N., Stanley, H.E., Econophysics: financial time series from a statistical physics point of view (2000) Physica A, 279, pp. 443-456
  • Lan, B.L., Tan, Y.O., Statistical properties of stock market indices of different economies (2007) Physica A, 375, pp. 605-611
  • Cortines, A.A.G., Anteneodo, C., Riera, R., Stock index dynamics worldwide: A comparative analysis (2008) Eur. Phys. J. B, 65, pp. 289-294
  • Zunino, L., Tabak, B.M., Figliola, A., Pérez, D.G., Garavaglia, M., Rosso, O.A., A multifractal approach for the stock market inefficiency (2008) Physica A, 387, pp. 6558-6566
  • Darbellay, G.A., Wuertz, D., The entropy as a tool for analysing statistical dependences in financial time series (2000) Physica A, 287, pp. 429-439
  • Bentes, S.R., Menezes, R., Mendes, D.A., Long memory and volatility clustering: I s the empirical evidence consistent across stock markets? (2008) Physica A, 387, pp. 3826-3830
  • Zhang, Y.-C., Toward a theory of marginally efficient markets (1999) Physica A, 269, pp. 30-44
  • Powell, G.E., Percival, I.C., A spectral entropy method for distinguishing regular and irregular motion of Hamiltonian systems (1979) J. Phys. A: Math. Gen., 12, pp. 2053-2071
  • Daw, C.S., Finney, C.E.A., Tracy, E.R., A review of symbolic analysis of experimental data (2003) Rev. Sci. Instrum, 74, pp. 915-930
  • Micco, L.D., Gonzalez, C.M., Larrondo, H.A., Martin, M.T., Plastino, A., Rosso, O.A., Randomizing nonlinear maps via symbolic dynamics (2008) Physica A, 387, pp. 3373-3383
  • Rosso, O.A., Mairal, M.L., Characterization of time dynamical evolution of electroencephalographic epileptic records (2002) Physica A, 312, pp. 469-504
  • Rosso, O.A., Larrondo, H.A., Martín, M.T., Plastino, A., Fuentes, M.A., Distinguishing noise from chaos (2007) Phys. Rev. Lett., 99, p. 154102
  • Bandt, C., Pompe, B., Permutation entropy: A natural complexity measure for time series (2002) Phys. Rev. Lett., 88, p. 174102
  • Keller, K., Lauffer, H., Symbolic analysis of high-dimensional time series (2003) Int. J. Bifurcation & Chaos, 13, pp. 2657-2668
  • Cao, Y., Tung, W., Gao, J.B., Protopopescu, V.A., Hively, L.M., Detecting dynamical changes in time series using the permutation entropy (2004) Phys. Rev. E, 70, p. 046217
  • Larrondo, H.A., González, C.M., Martín, M.T., Plastino, A., Rosso, O.A., Intensive statistical complexity measure of pseudorandom number generators (2005) Physica A, 356, pp. 133-138
  • Larrondo, H.A., Martín, M.T., González, C.M., Plastino, A., Rosso, O.A., Random number generators and causality (2006) Phys. Lett. A, 352, pp. 421-425
  • Kowalski, A., Martín, M.T., Plastino, A., Rosso, O.A., Bandt-Pompe approach to the classical-quantum transition (2007) Physica D, 233, pp. 21-31
  • Rosso, O., Vicente, R., Mirasso, C., Encryption test of pseudo-aleatory messages embedded on chaotic laser signals: An information theory approach (2007) Phys. Lett. A, 372, pp. 1018-1023
  • Bazsó, F., Zalányi, L., Petróczi, A., Accuracy of joint entropy and mutual information estimates, Neural Networks (2004) Proceedings of IEEE International Joint Conference on Neural Networks, 4, pp. 2843-2846
  • Amigó, J.M., Kennel, M.B., Topological permutation entropy (2007) Physica D, 231, pp. 137-142
  • Amigó, J.M., Kocarev, L., Szczepanski, J., Order patterns and chaos (2006) Phys. Lett. A, 355, pp. 27-31
  • Simonsen, I., Sneppen, K., Profit profiles in correlated markets (2002) Physica A, 316, pp. 561-567
  • Rosso, O.A., Zunino, L., Pérez, D.G., Figliola, A., Larrondo, H.A., Garavaglia, M., Martín, M.T., Plastino, A., Extracting features of Gaussian self-similar stochastic processes via the Bandt & Pompe approach (2007) Phys. Rev. E, 76, p. 061114
  • Zunino, L., Pérez, D.G., Martín, M.T., Garavaglia, M., Plastino, A., Rosso, O.A., Permutation entropy of fractional Brownian motion and fractional Gaussian noise (2008) Phys. Lett. A, 372, pp. 4768-4774
  • Pincus, S., Kalman, R.E., Irregularity, volatility, risk, and financial market time series (2004) Proc. Natl. Acad. Sci., 101, pp. 13709-13714
  • Oh, G., Kim, S., Eom, C., Market efficiency in foreign exchange markets (2007) Physica A, 382, pp. 209-212
  • Risso, W.A., The informational efficiency and the financial crashes (2008) Research in International Business and Finance, 22, pp. 396-408
  • Keller, K., Sinn, M., Ordinal analysis of time series (2005) Physica A, 356, pp. 114-120
  • Matilla-García, M., A non-parametric test for independence based on symbolic dynamics (2007) Journal of Economic Dynamics & Control, 31, pp. 3889-3903
  • Amigó, J.M., Zambrano, S., Sanjuán, M.A.F., True and false forbidden patterns in deterministic and random dynamics (2007) Europhys. Lett., 79, p. 50001
  • Zanin, M., Forbidden patterns in financial time series (2008) Chaos, 18, p. 013119
  • Greene, W., (2007) Econometric Analysis. 6th Edition, , Prentice Hall, New York
  • Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A., Rosso, O.A., Fractional Brownian motion, fractional gaussian noise, and Tsallis permutation entropy (2008) Physica A, 387, pp. 6057-6068
  • Li, X., Ouyang, G., Richards, D.A., Predictability analysis of absence seizures with permutation entropy (2007) Epilepsy Research, 77, pp. 70-74
  • Klonowski, W., Olejarczyk, E., Stepien, R., Epileptic seizures in economic organism (2004) Physica A, 342, pp. 701-707

Citas:

---------- APA ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G. & Rosso, O.A. (2009) . Forbidden patterns, permutation entropy and stock market inefficiency. Physica A: Statistical Mechanics and its Applications, 388(14), 2854-2864.
http://dx.doi.org/10.1016/j.physa.2009.03.042
---------- CHICAGO ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A. "Forbidden patterns, permutation entropy and stock market inefficiency" . Physica A: Statistical Mechanics and its Applications 388, no. 14 (2009) : 2854-2864.
http://dx.doi.org/10.1016/j.physa.2009.03.042
---------- MLA ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A. "Forbidden patterns, permutation entropy and stock market inefficiency" . Physica A: Statistical Mechanics and its Applications, vol. 388, no. 14, 2009, pp. 2854-2864.
http://dx.doi.org/10.1016/j.physa.2009.03.042
---------- VANCOUVER ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A. Forbidden patterns, permutation entropy and stock market inefficiency. Phys A Stat Mech Appl. 2009;388(14):2854-2864.
http://dx.doi.org/10.1016/j.physa.2009.03.042