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Forbidden patterns, permutation entropy and stock market inefficiency
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“To test the robustness of our findings in relation to market maturity, we also employ market maturity classifications provided by the Morgan Stanley Capital Index (MSCI) (Zunino et al., 2009) and the International Monetary Fund (IMF) (J. H. Kim & Shamsuddin, 2008).”
From Bridging the divide in financial market forecasting: machine learners vs. financial economists (2016) · cites this paper as Zunino et al., 2009
Citations
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Bearing Fault Diagnosis Based on Multiscale Permutation Entropy and Support Vector Machine
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“The PE has been widely used in a number of applications, such as electroencephalography (EEG) signal analysis [11,12], stock market analysis [13], tool breakage detection in end milling [14], and chatter detection in turning processes [15].”
Method
Metadata
- Authors
- Zunino, L., Zanin, M., Tabak, B. M., Pérez, D. G., & Rosso, O. A.
- Affiliations
- Consejo Nacional de Investigaciones Científicas y Técnicas (AR)
- Universidad Autónoma de Madrid (ES)
- Central Bank of Brazil (BR)
- Universidad de Buenos Aires (AR)
- Corresponding author
- Zunino, Luciano
- Venue
- Physica A Statistical Mechanics and its Applications
- Publisher
- Elsevier BV
- Published
- 2009-07
- Volume
- 388
- Issue
- 14
- Pages
- 2854-2864
- ISSN
- 0378-4371 (ISSN-L)
- OpenAlex
- W2018876117
- Cited by
- 249
- References
- 55
- Citations by year
- 2026: 6 · 2025: 10 · 2024: 11 · 2023: 5 · 2022: 19 · 2021: 17 · 2020: 21 · 2019: 36 · 2018: 18 · 2017: 18 · 2016: 17 · 2015: 10 · 2014: 10 · 2013: 11 · 2012: 16
- FWCI
- 26.94
- Type
- journal article
- Language
- en
- Open access
- green
- www.rcaap.pt
- Licence
- Locations
- Physica A Statistical Mechanics and its Applications (publishedVersion)
- Portuguese National Funding Agency for Science, Research and Technology (RCAAP Project by FCT) (publishedVersion, other-oa)
- LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas) (submittedVersion, cc-by-nc-nd)
- RePEc: Research Papers in Economics (submittedVersion)
- Americanae (AECID Library) (submittedVersion, other-oa)
- LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas) (submittedVersion, other-oa)
- Funders
- Consejo Nacional de Investigaciones Científicas y Técnicas
- Conselho Nacional de Desenvolvimento Científico e Tecnológico
- Pontificia Universidad Católica de Valparaíso
- Comisión Nacional de Investigación Científica y Tecnológica
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Complex Systems and Time Series Analysis
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Keywords
- forbidden patterns, permutation entropy, time series complexity
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