Una medida de eficiencia de mercado. Un enfoque de teoría de la información
Tài liệu tham khảo
Billingsley, 1965
Bollerslev, 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1
Brock, 1991
Brock, 1996, Test for Independence Based on the Correlation Dimension, Econometric Reviews, 15, 197, 10.1080/07474939608800353
Chen, 2006
Chen, 2001, Testing for Non-Linear Structure in an Artificial Financial Market, Journal of Economic Behavior and Organization, 46, 327, 10.1016/S0167-2681(01)00181-0
Clare, 1995, The Overreaction Hypothesis and the UK Stock Market, Journal of Business Finance and Accounting, 22, 961, 10.1111/j.1468-5957.1995.tb00888.x
Darell, 2010, Insider Trading: A Test of Market Efficiency, Proceedings of The American Society of Business and Behavioral Sciences, 17, 174
Engle, 1982, Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation, Econometrica, 50, 987, 10.2307/1912773
Fama, 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383, 10.2307/2325486
Gabjin, 2007, Market efficiency in foreign exchange markets, Physica A: Statistical Mechanics and its Applications, 382, 209, 10.1016/j.physa.2007.02.032
Granger, 1963, Spectral Analysis of New York Stock Market Prices, Kyklos, 16, 1, 10.1111/j.1467-6435.1963.tb00270.x
Gray, 1988
Gray, 2009
Halmos, 1956
Hong, 2003, Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models, Review of Economics and Statistics, 85, 1048, 10.1162/003465303772815925
Hsieh, 1991, Chaos and Nonlinear Dynamics: Application to Financial Markets, Journal of Finance, 46, 1839, 10.1111/j.1540-6261.1991.tb04646.x
Kullback, 1968
Lehmann, 1990, Fads, Martingales, and Market Efficiency, The Quarterly Journal of Economics, 105, 1, 10.2307/2937816
Lo, 2002
Lux, 2000, Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents, Journal of Theoretical and Applied Finance, 3, 675, 10.1142/S0219024900000826
Mandelbrot, 1963, The Variation of Certain Speculative Prices, The Journal of Business, 36, 394, 10.1086/294632
Mandelbrot, 1966, Forecast of Future Prices, Unbiased Markets, and “Martingale” Models, The Journal of Business, 39, 242, 10.1086/294850
Mandelbrot, 1971, When Can Price be Arbitraged Efficiently? A limit to the validity of the Random Walk and Martingale Models, The Review of Economics and Statistics, 53, 225, 10.2307/1937966
Mandelbrot, 1967, On the Distribution of Stock Prices Differences, Operations Research, 15, 1057, 10.1287/opre.15.6.1057
Nychka, 1992, Finding Chaos in Noisy Systems, Journal of the Royal Statistical Society, Series B, 54, 399
Oponga, 1999, The Behaviour of Some UK Equity Indices: An Application of Hurst and BDS tests, Journal of Empirical Finance, 6, 267, 10.1016/S0927-5398(99)00004-3
Pichardo, 2009, The Lehman Brothers Bankruptcy: a Test of Market Efficiency, Allied Academies International Conference, 14, 43
Pincus, 1991, Approximate Entropy as a Measure of System Complexity, Proceedings of the National Academy of Sciences of the United States of America, 88, 2297, 10.1073/pnas.88.6.2297
Pincus, 2004, Irregularity, Volatility, Risk, and Financial Market Time Series, Proceedings of the National Academy of Sciences of the United States of America, 101, 13709, 10.1073/pnas.0405168101
Roll, 1977, Critique of the Asset Pricing Theory’s Tests, Journal of Financial Economics, 4, 129, 10.1016/0304-405X(77)90009-5
Roll, 1980, An Empirical Investigation of the Arbitrage Pricing Theory, Journal of Finance, 35, 1073, 10.1111/j.1540-6261.1980.tb02197.x
Shannon, 1948, Mathematical Theory of Communication, Bell System Technical Journal, 27, 379, 10.1002/j.1538-7305.1948.tb01338.x
Taleb, 2008
Tanaka, 1998, Analysis of Positive Lyapunov Exponents for Random Time Series, Phisica D, 111, 42, 10.1016/S0167-2789(97)80004-8
Yeh, 2001, Market Diversity and Market Efficiency: The Approach based on Genetic Programming, Artificial Simulation of Adaptive Behavior Journal, 1, 147
Zunino, 2009, Forbidden Patterns, Permutation Entropy and Stock Market Inefficiency, Physica A, 388, 916, 10.1016/j.physa.2009.03.042