کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974459 932979 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 9, 1 May 2010, Pages 1891–1901
نویسندگان
, , , , ,