Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency
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DOI：
10.1016/j.physa.2010.01.007
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发表时间：
2010-05
影响因子：
3.3
通讯作者：
L. Zunino;Massimiliano Zanin;B. Tabak;D. Pérez;O. Rosso
中科院分区：
文献类型：
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作者：
L. Zunino;Massimiliano Zanin;B. Tabak;D. Pérez;O. Rosso
复杂性-熵因果关系平面最近被引入，作为区分高斯与非高斯过程和不同程度相关的强大工具[a]罗索，H.A. Larrondo， M.T. Martín， A. Plastino， M.A. Fuentes，《从混沌中区分噪音》，物理学。教化。99(2007)154102]。我们建议用这个表示空间来区分股票市场的发展阶段。我们的实证结果表明，这种统计物理方法是有用的，允许更精细的股票市场动态分类。
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.