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A statistical test of market efficiency based on information theory
16 references·1 citing·42 second hop
A statistical test of market efficiency based on information theory (2023)A statistical test of market efficiency b…Measuring market efficiency: The Shannon entropy of high-frequency financial time series (2022)Measuring market efficiency: …COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis (2021)COVID-19, cryptocurrencies bu…Cryptocurrencies market efficiency ranking: Not so straightforward (2019)Cryptocurrencies market effic…Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects (2018)Bitcoin market route to matur…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinCommodity futures and market efficiency (2013)Commodity futures and market …Transfer Entropy as a Log-Likelihood Ratio (2012)Transfer Entropy as a Log-Lik…Commodity predictability analysis with a permutation information theory approach (2010)Commodity predictability anal…The informational efficiency and the financial crashes (2008)The informational efficiency …Irregularity, volatility, risk, and financial market time series (2004)Irregularity, volatility, ris…The Generalized Multifractional Brownian Motion (2000)The Generalized Multifraction…Linear estimation of self-similar processes via Lamperti's transformation (2000)Linear estimation of self-sim…Approximate entropy as a measure of system complexity. 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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1991Approximate entropy as a measure of system complexity.5,811 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2013Commodity futures and market efficiency194 cited
  • 2004Irregularity, volatility, risk, and financial market time series178 cited
  • 2012Transfer Entropy as a Log-Likelihood Ratio138 cited
  • 2018Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects120 cited
  • 2000The Generalized Multifractional Brownian Motion110 cited
  • 2008The informational efficiency and the financial crashes109 cited
  • 2019Cryptocurrencies market efficiency ranking: Not so straightforward98 cited
  • 2010Commodity predictability analysis with a permutation information theory approach89 cited
  • 2000Linear estimation of self-similar processes via Lamperti's transformation82 cited
  • 2021COVID-19, cryptocurrencies bubbles and digital market efficiency: sensitivity and similarity analysis77 cited

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  • 2022Measuring market efficiency: The Shannon entropy of high-frequency financial time series47 cited
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    • 2024Analyzing the influence of smart and digital manufacturing on cost stickiness: A study of U.S. manufacturing firms19 cited