Efficiency of crude oil markets: Evidences from informational entropy analysis

Ortiz-Cruz, A.; Rodríguez, Eduardo; Ibarra-Valdez, Carlos; Alvarez-Ramı́rez, José

doi:10.1016/j.enpol.2011.10.057

Cited by 78 publications

(50 citation statements)

References 48 publications

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“…In addition, permutation entropy is invariant under scaling of the data, i.e., under non-linear monotonic transformations, adding to its wide applicability [1,2]. These techniques have found application in many fields including economics [3][4][5][6][7][8], medicine [9][10][11][12][13] and physics [14,15], among others. Datasets of a similar scale are increasingly available in the current big data paradigm, and permutation methods are well positioned to contribute to comprehensive and meaningful analyses.…”

Section: Introductionmentioning

confidence: 99%

Random Walk Null Models for Time Series Data

DeFord

Moore

2017

Entropy

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Permutation entropy has become a standard tool for time series analysis that exploits the temporal and ordinal relationships within data. Motivated by a Kullback-Leibler divergence interpretation of permutation entropy as divergence from white noise, we extend pattern-based methods to the setting of random walk data. We analyze random walk null models for correlated time series and describe a method for determining the corresponding ordinal pattern distributions. These null models more accurately reflect the observed pattern distributions in some economic data. This leads us to define a measure of complexity using the deviation of a time series from an associated random walk null model. We demonstrate the applicability of our methods using empirical data drawn from a variety of fields, including to a variety of stock market closing prices.

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Section: Introductionmentioning

confidence: 99%

Random Walk Null Models for Time Series Data

DeFord

Moore

2017

Entropy

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“…In fact, Theil and Leenders [40], Fama [13], and Dryden [11] may be considered seminal papers in this field. More recently, Martina et al [26] and Ortiz et al [29] applied entropy and multiscale entropy analysis to assess crude oil price efficiency. Alvarez-Ramírez et al [3] also used entropy methods to quantify the dynamics of the informational efficiency of the US stock market over the last 70 years.…”

Section: Permutation Information Theory Quantifiersmentioning

confidence: 99%

The (in)visible hand in the Libor market: an information theory approach

et al. 2015

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This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexityentropy causality plane. This representation is able to classify different stochastic and chaotic regimes in time series. We use sliding temporal windows to assess changes in the intrinsic stochastic dynamics of the time series. Anomalous behavior in the Libor is detected, especially around the time of the last financial crisis, that could be consistent with data manipulation.

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“…Mistrulli [81] analyzed how contagion propagates within the Italian interbank market using a unique data set, his results obtained by assuming the maximum entropy were compared with those reflecting the observed structure of interbank claims. In addition, Ortiz-Cruz et al [82] analyzed the evolution of the informational complexity and efficiency for the crude oil market with entropy methods.…”

Section: Applications Of Entropy In Other Fields Of Financementioning

confidence: 99%

Applications of Entropy in Finance: A Review

Zhou

Cai

Tong

2013

Entropy

203

123

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Although the concept of entropy is originated from thermodynamics, its concepts and relevant principles, especially the principles of maximum entropy and minimum cross-entropy, have been extensively applied in finance. In this paper, we review the concepts and principles of entropy, as well as their applications in the field of finance, especially in portfolio selection and asset pricing. Furthermore, we review the effects of the applications of entropy and compare them with other traditional and new methods.

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Efficiency of crude oil markets: Evidences from informational entropy analysis

Cited by 78 publications

References 48 publications

Random Walk Null Models for Time Series Data

Random Walk Null Models for Time Series Data

The (in)visible hand in the Libor market: an information theory approach

Applications of Entropy in Finance: A Review

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