Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/808924

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Title
Forbidden patterns, permutation entropy and stock market inefficiency
Author/Creator
Zunino, Luciano;  Zanin, Massimiliano;  Tabak, Benjamin M.;  Pérez, Darío G.;  Rosso, Osvaldo A.
Institution
The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
Description
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.
Relation
Physica A: Statistical Mechanics and Its Applications Vol. 388, Issue 14, p. 2854-2864
Publisher Link
http://dx.doi.org/10.1016/j.physa.2009.03.042
Date
2009
Publisher
Elsevier
Keyword(s)
forbidden patterns;  permutation entropy;  stock market inefficiency
Resource Type
journal article
Identifier
http://hdl.handle.net/1959.13/808924
Identifier
ISSN:0378-4371
Reviewed
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Subject
"Physica A: Statistical Mechanics and Its Applications"
 
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