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ArticleForbidden patterns, permutation entropy and stock market inefficiency

Luciano Zunino2009

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Articlegreen2009

Forbidden patterns, permutation entropy and stock market inefficiency

Luciano Zunino · Massimiliano Zanin · Benjamin Miranda Tabak · Darı́o G. Pérez · Osvaldo Anibal Rosso

249 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stock Market Forecasting Methods

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1900Théorie de la spéculation 2004Detecting dynamical changes in time series using the permutation entropy 2004Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development 2004The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient 2008A multifractal approach for stock market inefficiency 2004Can one make any crash prediction in finance using the local Hurst exponent idea?

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2009Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis 2010Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency 2017Chaos, randomness and multi-fractality in Bitcoin market 2015Complexity testing techniques for time series data: A comprehensive literature review 2017Permutation entropy based time series analysis: Equalities in the input signal can lead to false conclusions

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Year2009

Typearticle

Published2009-04-02

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations249

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2009.03.042

openalex_workW2018876117

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