A singular value decomposition entropy approach for testing stock market efficiency
暂无分享,去创建一个
[1] Petre Caraiani. The predictive power of singular value decomposition entropy for stock market dynamics , 2014 .
[2] S. Bentes,et al. Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets? , 2007, 0709.2178.
[3] O. Rosso,et al. Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency , 2010 .
[4] Yanmin Shao,et al. How long the singular value decomposed entropy predicts the stock market? — Evidence from the Dow Jones Industrial Average Index , 2016 .
[5] Johannes A. Skjeltorp. Scaling in the Norwegian stock market , 2000 .
[6] Wei Xiong,et al. Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market , 2015 .
[7] A. Lo. Long-Term Memory in Stock Market Prices , 1989 .
[8] J. Álvarez-Ramírez,et al. Time-varying Hurst exponent for US stock markets , 2008 .
[9] Rongbao Gu,et al. Multiscale Shannon entropy and its application in the stock market , 2017 .
[10] S. Bentes. On the hysteresis of financial crises in the US: Evidence from S&P 500 , 2021 .
[11] J. Miranda,et al. How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis , 2013 .
[12] Mihail Busu,et al. Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 Index , 2019, Physica A: Statistical Mechanics and its Applications.
[13] Changqing Song,et al. Characterizing Complexity Changes in Chinese Stock Markets by Permutation Entropy , 2017, Entropy.
[14] J. Alvarez,et al. A multiscale entropy approach for market efficiency , 2012 .
[15] E. Fama. EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .
[16] B. M. Tabak,et al. The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient , 2004 .
[17] G. Oh,et al. Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets , 2007, 0712.1624.
[18] Pilar Grau-Carles,et al. Long-range power-law correlations in stock returns , 2001 .
[19] Wiston Adrián Risso,et al. The informational efficiency and the financial crashes , 2008 .
[20] A. M. Sabatini,et al. Analysis of postural sway using entropy measures of signal complexity , 2000, Medical and Biological Engineering and Computing.
[21] E. Fama. The Behavior of Stock-Market Prices , 1965 .
[22] Luciano Zunino,et al. Forbidden patterns, permutation entropy and stock market inefficiency , 2009 .
[23] Craig Hiemstra,et al. Another look at long memory in common stock returns , 1997 .
[24] S. Bentes. How COVID-19 has affected stock market persistence? Evidence from the G7’s , 2021, Physica A.