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

Zunino, Luciano; Zanin, Massimiliano; Tabak, Benjamin M.; Pérez, Darío G.; Rosso, Osvaldo A.
Physica A 389, 1891-1901 (2010)

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 [Rosso~\textit{et al.}, Phys. Rev. Lett. \textbf{99} (2007) 154102]. We propose to use this representation space to distinguish the stage of stock market development. Our empirical results demonstrate that this statistical physics approach is useful, allowing a more refined classification of stock market dynamics.