The DOI matches its Crossref record; 55 of the 55 references it cites were found in a registry or an index.
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
Cites
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
Malkiel, B. G., & Fama, E. F. (1970) · The Journal of Finance · doi:10.1111/j.1540-6261.1970.tb00518.x · Cited by 24,478
Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
Permutation Entropy: A Natural Complexity Measure for Time Series
Bandt, C., & Pompe, B. (2002) · Physical Review Letters · doi:10.1103/physrevlett.88.174102 · Cited by 5,011
Bachelier, L. (1900) · Annales Scientifiques de l École Normale Supérieure · doi:10.24033/asens.476 · Cited by 2,568
Distinguishing Noise from Chaos
Rosso, O. A., Larrondo, H. A., Martín, M. T., Plastino, A., & Fuentes, M. (2007) · Physical Review Letters · doi:10.1103/physrevlett.99.154102 · Cited by 716
A review of symbolic analysis of experimental data
Daw, C. S., Finney, C. E. A., & Tracy, E. R. (2003) · Review of Scientific Instruments · doi:10.1063/1.1531823 · Cited by 595
Detecting dynamical changes in time series using the permutation entropy
Cao, Y., Tung, W., Gao, J., Protopopescu, V., & Hively, L. M. (2004) · Physical Review E · doi:10.1103/physreve.70.046217 · Cited by 545
Matteo, T. D., Aste, T., & Dacorogna, M. M. (2004) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2004.08.004 · Cited by 433
Cajueiro, D. O., & Tabak, B. M. (2004) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2003.12.031 · Cited by 411
A multifractal approach for stock market inefficiency
Zunino, L., Tabak, B. M., Figliola, A., Pérez, D. G., Garavaglia, M., & Rosso, O. A. (2008) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2008.08.028 · Cited by 305
Cited by
Sorted by citations
Permutation Entropy and Its Main Biomedical and Econophysics Applications: A Review
Zanin, M., Zunino, L., Rosso, O. A., & Papo, D. (2012) · Entropy · doi:10.3390/e14081553 · Cited by 642
Zhang, X., Liang, Y., Zhou, J., & Zang, Y. (2015) · Measurement · doi:10.1016/j.measurement.2015.03.017 · Cited by 586
Fadlallah, B. H., Chen, B., Keil, A., & Príncipe, J. C. (2013) · Physical Review E · doi:10.1103/physreve.87.022911 · Cited by 453
Practical considerations of permutation entropy
Riedl, M., Müller, A., & Wessel, N. (2013) · The European Physical Journal Special Topics · doi:10.1140/epjst/e2013-01862-7 · Cited by 342
Bearing Fault Diagnosis Based on Multiscale Permutation Entropy and Support Vector Machine
Wu, S.-D., Wu, P.-H., Wu, C.-W., Ding, J., & Wang, C.-C. (2012) · Entropy · doi:10.3390/e14081343 · Cited by 282
“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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