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Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency

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  • Zunino, Luciano
  • Zanin, Massimiliano
  • Tabak, Benjamin M.
  • Pérez, Darío G.
  • Rosso, Osvaldo A.

Abstract

The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, M.A. Fuentes, Distinguishing noise from chaos, Phys. Rev. Lett. 99 (2007) 154102]. We propose to use this representation space to distinguish the stage of stock market development. Our empirical results demonstrate that this statistical physics approach is useful, allowing a more refined classification of stock market dynamics.

Suggested Citation

  • Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:9:p:1891-1901
    DOI: 10.1016/j.physa.2010.01.007
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