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Browsing by Author "Tabak B.M."

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Browsing by Author "Tabak B.M."

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  • Commodity predictability analysis with a permutation information theory approach 
    Zunino L.; Tabak B.M.; Serinaldi F.; Zanin M.; Perez D.G.; Rosso O.A. (2014-04-04)
    It is widely known that commodity markets are not totally efficient. Long-range dependence is present, and thus the celebrated Brownian motion of prices can be considered only as a first approximation. In this work we ...
  • Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency 
    Zunino L.; Zanin M.; Tabak B.M.; Perez D.G.; Rosso O.A. (2014-04-04)
    The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [O.A. Rosso, H.A. Larrondo, M.T. Martín, ...
  • Forbidden patterns, permutation entropy and stock market inefficiency 
    Zunino L.; Zanin M.; Tabak B.M.; Perez D.G.; Rosso O.A. (2014-04-04)
    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 ...
  • Inefficiency in Latin-American market indices 
    Zunino L.; Tabak B.M.; Perez D.G.; Garavaglia M.; Rosso O.A. (2014-04-04)
    We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling ...
  • A multifractal approach for stock market inefficiency 
    Zunino L.; Tabak B.M.; Figliola A.; Perez D.G.; Garavaglia M.; Rosso O.A. (2014-04-04)
    In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize ...
  • Multifractal structure in Latin-American market indices 
    Zunino L.; Figliola A.; Tabak B.M.; Perez D.G.; Garavaglia M.; Rosso O.A. (2014-04-04)
    We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country ...