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The informational efficiency and the financial crashes

Citations

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Cited by:

  1. Daniele Angelini & Matthieu Garcin, 2024. "Market information of the fractional stochastic regularity model," Papers 2409.07159, arXiv.org, revised May 2025.
  2. Ortiz-Cruz, Alejandro & Rodriguez, Eduardo & Ibarra-Valdez, Carlos & Alvarez-Ramirez, Jose, 2012. "Efficiency of crude oil markets: Evidences from informational entropy analysis," Energy Policy, Elsevier, vol. 41(C), pages 365-373.
  3. Andrey Shternshis & Piero Mazzarisi & Stefano Marmi, 2022. "Efficiency of the Moscow Stock Exchange before 2022," Papers 2207.10476, arXiv.org, revised Jul 2022.
  4. Alvarez-Ramirez, J. & Rodriguez, E. & Espinosa-Paredes, G., 2012. "A partisan effect in the efficiency of the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4923-4932.
  5. Martina, Esteban & Rodriguez, Eduardo & Escarela-Perez, Rafael & Alvarez-Ramirez, Jose, 2011. "Multiscale entropy analysis of crude oil price dynamics," Energy Economics, Elsevier, vol. 33(5), pages 936-947, September.
  6. Salma Khand & Vivake Anand & Mohammad Nadeem Qureshi, 2020. "The Predictability and Profitability of Simple Moving Averages and Trading Range Breakout Rules in the Pakistan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-38, March.
  7. Albarracín E., Eva Susana & Gamboa, Juan C. Rodríguez & Marques, Elaine C.M. & Stosic, Tatijana, 2019. "Complexity analysis of Brazilian agriculture and energy market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 933-941.
  8. Shternshis, Andrey & Mazzarisi, Piero & Marmi, Stefano, 2022. "Measuring market efficiency: The Shannon entropy of high-frequency financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  9. Aurelio F. Bariviera & Luciano Zunino & Osvaldo A. Rosso, 2016. "Crude Oil Market And Geopolitical Events: An Analysis Based On Information-Theory-Based Quantifiers," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 21(1), pages 41-51, May.
  10. Gu, Rongbao & Chen, Xi & Li, Xinjie, 2014. "Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 101-112.
  11. Radhika Prosad Datta, 2023. "Leveraging Sample Entropy for Enhanced Volatility Measurement and Prediction in International Oil Price Returns," Papers 2312.12788, arXiv.org.
  12. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
  13. Oluwasegun B. Adekoya, 2021. "Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches," Empirical Economics, Springer, vol. 61(3), pages 1415-1433, September.
  14. Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition entropy approach for testing stock market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
  15. Liu, Jian & Jiang, Ting & Ye, Ze, 2021. "Information efficiency research of China's carbon markets," Finance Research Letters, Elsevier, vol. 38(C).
  16. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
  17. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
  18. Mensi, Walid & Hamdi, Atef & Yoon, Seong-Min, 2018. "Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1107-1116.
  19. Liu, Shengnan & Yang, Linshan & Gu, Rongbao, 2023. "Can the introduction of stock index futures stabilize the volatility of the stock market? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 44-58.
  20. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
  21. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2009. "Forbidden patterns, permutation entropy and stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2854-2864.
  22. Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Libor at crossroads: Stochastic switching detection using information theory quantifiers," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 172-182.
  23. Mostafa Raeisi Sarkandiz & Robabeh Bahlouli, 2019. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 67-88, December.
  24. Vasile Brătian & Ana-Maria Acu & Diana Marieta Mihaiu & Radu-Alexandru Șerban, 2022. "Geometric Brownian Motion (GBM) of Stock Indexes and Financial Market Uncertainty in the Context of Non-Crisis and Financial Crisis Scenarios," Mathematics, MDPI, vol. 10(3), pages 1-23, January.
  25. Aurelio F. Bariviera & Luciano Zunino & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "Efficiency and credit ratings: a permutation-information-theory analysis," Papers 1509.01839, arXiv.org.
  26. Busu, Cristian & Busu, Mihail, 2019. "Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  27. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5643-5647.
  28. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
  29. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Alvarez, Jesus, 2012. "A multiscale entropy approach for market efficiency," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 64-69.
  30. Andrey Shternshis & Piero Mazzarisi, 2022. "Variance of entropy for testing time-varying regimes with an application to meme stocks," Papers 2211.05415, arXiv.org, revised Jun 2023.
  31. Xavier Brouty & Matthieu Garcin, 2022. "A statistical test of market efficiency based on information theory," Papers 2208.11976, arXiv.org.
  32. F. Benedetto & L. Mastroeni & P. Vellucci, 2021. "Modeling the flow of information between financial time-series by an entropy-based approach," Annals of Operations Research, Springer, vol. 299(1), pages 1235-1252, April.
  33. Andrey Shternshis & Piero Mazzarisi, 2024. "Variance of entropy for testing time-varying regimes with an application to meme stocks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 215-258, June.
  34. Matthieu Garcin, 2023. "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Papers 2305.13123, arXiv.org.
  35. Benedetto, F. & Giunta, G. & Mastroeni, L., 2016. "On the predictability of energy commodity markets by an entropy-based computational method," Energy Economics, Elsevier, vol. 54(C), pages 302-312.
  36. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
  37. Wang, Jingjing & Wang, Xiaoyang, 2021. "COVID-19 and financial market efficiency: Evidence from an entropy-based analysis," Finance Research Letters, Elsevier, vol. 42(C).
  38. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
  39. Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
  40. Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition approach for testing the efficiency of Bitcoin and Ethereum markets," Economics Letters, Elsevier, vol. 206(C).
  41. Habib, Ahsan & Hasan, Mostafa Monzur, 2017. "Business strategy, overvalued equities, and stock price crash risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 389-405.
  42. Jamaani, Fouad & Roca, Eduardo, 2015. "Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 221-246.
  43. Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
  44. Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  45. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & de Oliveira, Wilson & Stosic, Tatijana, 2016. "Foreign exchange rate entropy evolution during financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 233-239.
  46. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
  47. Xavier Brouty & Matthieu Garcin, 2022. "A statistical test of market efficiency based on information theory," Working Papers hal-03760478, HAL.
  48. Wang, Xiaoyang, 2022. "Efficient markets are more connected: An entropy-based analysis of the energy, industrial metal and financial markets," Energy Economics, Elsevier, vol. 111(C).
  49. Matthieu Garcin, 2023. "Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis," Working Papers hal-04102815, HAL.
  50. Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.
  51. Brouty, Xavier & Garcin, Matthieu, 2024. "Fractal properties, information theory, and market efficiency," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).
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