| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 974459 | Physica A: Statistical Mechanics and its Applications | 2010 | 11 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Luciano Zunino, Massimiliano Zanin, Benjamin M. Tabak, Darío G. Pérez, Osvaldo A. Rosso,