Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 389, Issue 9, Pages 1891-1901Publisher
ELSEVIER
DOI: 10.1016/j.physa.2010.01.007
Keywords
Complexity-entropy causality plane; Bandt and Pompe method; Stock market inefficiency
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Funding
- Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET), Argentina
- CNPq foundation
- Comision Nacional de Investigacion Cientifica y Tecnologica (CONICYT), Chile [11060512]
- Pontificia Universidad Catolica de Valparaiso (PUCV), Chile [123. 788/2007]
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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. Martin, 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. (C) 2010 Elsevier B.V. All rights reserved.
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