Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7605
Type: Artigo
Title: Forbidden patterns, permutation entropy and stock market inefficiency
Authors: Zunino, Luciano
Zanin, Massimiliano
Tabak, Benjamin Miranda
Pérez, Darío G.
Rosso, Osvaldo A.
Abstract: In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented.
Keywords: Forbidden patterns
Permutation entropy
Stock market inefficiency
Citation: ZUNINO, Luciano. et. al. Forbidden patterns, permutation entropy and stock market inefficiency. Physica A, v.388, n.14, p. 2854-2864, 2009.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/318
https://repositorio.ucb.br:9443/jspui/handle/123456789/7605
Document date: 2009
Appears in Collections:PPG - Revistas e Artigos Científicos

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