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Measuring market efficiency: The Shannon entropy of high-frequency financial time series

  • Published:2022-09 Issue: Volume:162 Page:112403
  • ISSN:0960-0779
  • Container-title:Chaos, Solitons & Fractals
  • language:en
  • Short-container-title:Chaos, Solitons & Fractals

Author:

Shternshis Andrey,Mazzarisi Piero,Marmi Stefano

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference53 articles.

1. Proof that properly anticipated prices fluctuate randomly;Samuelson;Ind Manag Rev,1965

2. Efficient capital markets: a review of theory and empirical work;Fama;J Financ,1970

3. Efficient capital markets and martingales;LeRoy;J Econ Lit,1989

4. Measuring the degree of time varying market inefficiency;Ito;EconLett,2009

5. Ranking efficiency for emerging markets;Cajueiro;Chaos Solitons Fractals,2004

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