Artículo

Zunino, L.; Zanin, M.; Tabak, B.M.; Pérez, D.G.; Rosso, O.A. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency" (2010) Physica A: Statistical Mechanics and its Applications. 389(9):1891-1901
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Abstract:

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. Martín, 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. © 2010 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
Autor:Zunino, L.; Zanin, M.; Tabak, B.M.; Pérez, D.G.; Rosso, O.A.
Filiación:Instituto de Física Interdisciplinar y Sistemas Complejos (IFISC) CSIC-UIB, Campus Universitat les Illes Balears, E-07122 Palma de Mallorca, Spain
Centro de Investigaciones Ópticas (CONICET La Plata - CIC), C.C. 3, 1897 Gonnet, Argentina
Departamento de Ciencias Básicas, Facultad de Ingeniería, Universidad Nacional de La Plata (UNLP), 1900 La Plata, Argentina
Universidad Autónoma de Madrid, 28049 Madrid, Spain
Banco Central do Brasil, SBS Quadra 3, Bloco B, 9 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
Instituto de Ciências Exatas (Fisica), Universidade Federal de Minas Gerais, Av. Antonio Carlos, 6627, - Campus Pampulha, 31270-901 Belo Horizonte, MG, Brazil
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:Bandt and Pompe method; Complexity-entropy causality plane; Stock market inefficiency; Bandt and Pompe method; Empirical results; Gaussians; Method complexity; Non-Gaussian process; Representation space; Statistical physics; Stock market; Stock market dynamics; Entropy; Finance; Gaussian noise (electronic); Commerce
Año:2010
Volumen:389
Número:9
Página de inicio:1891
Página de fin:1901
DOI: http://dx.doi.org/10.1016/j.physa.2010.01.007
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_v389_n9_p1891_Zunino

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Citas:

---------- APA ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G. & Rosso, O.A. (2010) . Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency. Physica A: Statistical Mechanics and its Applications, 389(9), 1891-1901.
http://dx.doi.org/10.1016/j.physa.2010.01.007
---------- CHICAGO ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency" . Physica A: Statistical Mechanics and its Applications 389, no. 9 (2010) : 1891-1901.
http://dx.doi.org/10.1016/j.physa.2010.01.007
---------- MLA ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency" . Physica A: Statistical Mechanics and its Applications, vol. 389, no. 9, 2010, pp. 1891-1901.
http://dx.doi.org/10.1016/j.physa.2010.01.007
---------- VANCOUVER ----------
Zunino, L., Zanin, M., Tabak, B.M., Pérez, D.G., Rosso, O.A. Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency. Phys A Stat Mech Appl. 2010;389(9):1891-1901.
http://dx.doi.org/10.1016/j.physa.2010.01.007