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The informational efficiency and the financial crashes
16 references·8 citing·41 second hop
The informational efficiency and the financial crashes (2008)The informational efficiency and the fina…Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection (2015)Why Did the Nikkei Crash? Exp…Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Beyond the Random Walk: A Guide to Stock Market Anomalies and Low-Risk Investing (2003)Beyond the Random Walk: A Gui…Understanding the financial crisis in Asia (2000)Understanding the financial c…Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection (1996)Why Did the Nikkei Crash? 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this work references cited by second hop

References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1973A Random Walk Down Wall Street1,743 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1968The Random Character of Stock Market Prices926 cited
  • 1991Chaos and order in the capital markets566 cited
  • 1984Chapter 24 Econometric analysis of qualitative response models415 cited
  • 1964Theory of Speculation301 cited
  • 2004Can one make any crash prediction in finance using the local Hurst exponent idea?252 cited
  • 1996Capital Flows and Macroeconomic Management: Tequila Lessons238 cited
  • 1996Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection142 cited
  • 1994Chaos and nonlinear forecastability in economics and finance137 cited
  • 2015Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection121 cited
  • 2000Understanding the financial crisis in Asia66 cited
  • 2003Beyond the Random Walk: A Guide to Stock Market Anomalies and Low-Risk Investing64 cited

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1995
Nonlinear Dynamics in Financial Markets: Evidence and Implications
52 cited

Cited by

  • 2011Efficiency of crude oil markets: Evidences from informational entropy analysis99 cited
  • 2017Information Entropy and Measures of Market Risk47 cited
  • 2022Measuring market efficiency: The Shannon entropy of high-frequency financial time series47 cited
  • 2015On the predictability of energy commodity markets by an entropy-based computational method39 cited
  • 2019Herding behaviour and Islamic market efficiency assessment: case of Dow Jones and Sukuk market35 cited
  • 2019Using High-Frequency Entropy to Forecast Bitcoin’s Daily Value at Risk30 cited
  • 2021A singular value decomposition approach for testing the efficiency of Bitcoin and Ethereum markets27 cited
  • 2023A statistical test of market efficiency based on information theory27 cited