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Commodity predictability analysis with a permutation information theory approach
16 references·3 citing·31 second hop
Commodity predictability analysis with a permutation information theory approach (2010)Commodity predictability analysis with a …On Hurst exponent estimation under heavy-tailed distributions (2010)On Hurst exponent estimation …Forbidden patterns, permutation entropy and stock market inefficiency (2009)Forbidden patterns, permutati…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)The Hurst exponent over time:…Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Long-term memories of develop…Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…The variation of certain speculative prices (1997)The variation of certain spec…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Approach to an irregular time series on the basis of the fractal theory (1988)Approach to an irregular time…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Variation of Some Other Speculative Prices (1967)The Variation of Some Other S…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A statistical test of market efficiency based on information theory (2023)A statistical test of market …Taxonomy of commodities assets via complexity-entropy causality plane (2020)Taxonomy of commodities asset…An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers (2018)An analysis of high-frequency…The Analysis of Economic Time-Series-Part I: Prices (1953)Filter Rules and Stock-Market Trading (1966)On the Distribution of Stock Price Differences (1967)The Random Character of Stock Market Prices (1968)When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)Ecology, evolution and 1f-noise (1996)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multi-scaling in finance (2007)Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Human behavior and the principle of least effort (1949)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Multifractal analysis of financial markets: a review (2019)Real-Time EEG-Based Human Emotion Recognition and Visualization (2010)Feature Extraction and Selection for Emotion Recognition from EEG (2014)Domain Adaptation Techniques for EEG-Based Emotion Recognition: A Comparative Study on Two Public Datasets (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Scaling of the distribution of fluctuations of financial market indices (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1988Approach to an irregular time series on the basis of the fractal theory2,164 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development430 cited
  • 2004The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient411 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2010On Hurst exponent estimation under heavy-tailed distributions276 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?

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252 cited
  • 2009Forbidden patterns, permutation entropy and stock market inefficiency249 cited
  • Cited by

    • 2018An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers84 cited
    • 2020Taxonomy of commodities assets via complexity-entropy causality plane66 cited
    • 2023A statistical test of market efficiency based on information theory27 cited