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

AutorRibeiro, Haroldo V.; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío G.; Rosso, Osvaldo A.
Palabras clavePermutation entropy
Complexity measure
Time series analysis
Fecha de publicación2010
CitaciónPhysica A 389: 1891-1901 (2010)
ResumenNowadays we are often faced with huge databases resulting from the rapid growth of data storage technologies. This is particularly true when dealing with music databases. In this context, it is essential to have techniques and tools able to discriminate properties from these massive sets. In this work, we report on a statistical analysis of more than ten thousand songs aiming to obtain a complexity hierarchy. Our approach is based on the estimation of the permutation entropy combined with an intensive complexity measure, building up the complexity-entropy causality plane. The results obtained indicate that this representation space is very promising to discriminate songs as well as to allow a relative quantitative com- parison among songs. Additionally, we believe that the here-reported method may be applied in practical situations since it is simple, robust and has a fast numerical implementation.
DescripciónTexto completo arXiv:1112.2316v1
Versión del editorhttp://dx.doi.org/10.1016/j.physa.2010.01.007
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