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  • Search: subject:"Permutation statistical complexity"
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Bandt and Pompe method 2 Ordinal time series analysis 2 Permutation entropy 2 Permutation statistical complexity 2 Commodity efficiency 1 Complexity-entropy causality plane 1 Complexity–entropy causality plane 1 Sovereign bond market efficiency 1
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Rosso, Osvaldo A. 2 Zunino, Luciano 2 Fernández Bariviera, Aurelio 1 Guercio, M. Belén 1 Martinez, Lisana B. 1 Pérez, Darío G. 1 Serinaldi, Francesco 1 Tabak, Benjamin M. 1 Zanin, Massimiliano 1
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Physica A: Statistical Mechanics and its Applications 2
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RePEc 2
Showing 1 - 2 of 2
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On the efficiency of sovereign bond markets
Zunino, Luciano; Fernández Bariviera, Aurelio; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 18, pp. 4342-4349
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given...
Persistent link: https://www.econbiz.de/10011063812
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Commodity predictability analysis with a permutation information theory approach
Zunino, Luciano; Tabak, Benjamin M.; Serinaldi, Francesco; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 876-890
statistical complexity of twenty basic commodity future markets over a period of around 20 years (1991.01.02–2009.09.01), we can … quantify the stock market inefficiency, Physica A 389 (2010) 1891–1901]. By estimating the permutation entropy and permutation …
Persistent link: https://www.econbiz.de/10011062145
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