Fractal properties, information theory, and market efficiency
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References listed on IDEAS
- Bacry, E. & Delour, J. & Muzy, J.F., 2001. "Modelling financial time series using multifractal random walks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 84-92.
- Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition entropy approach for testing stock market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
- Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
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Cited by:
- Matthieu Garcin, 2023. "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Working Papers hal-04102815, HAL.
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Keywords
fractional Brownian motion; Hurst exponent; market information; multiscale entropy; Shannon entropy; stationary process;All these keywords.
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