Forbidden patterns, permutation entropy and stock market inefficiency
作者： Luciano Zunino , Massimiliano Zanin , Benjamin M Tabak , Darío G Pérez , Osvaldo A Rosso
DOI: 10.1016/J.PHYSA.2009.03.042
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摘要: Abstract In this paper we introduce two new quantifiers for the stock market inefficiency: number of forbidden patterns and normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree inefficiency is positively correlated with negatively Our empirical results suggest these physical tools useful to discriminate stage development can be easily implemented.
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