Forbidden patterns, permutation entropy and stock market inefficiency

Permutation Entropy: A Natural Complexity Measure for Time Series

Christoph Bandt, Bernd Pompe · Physical Review Letters · 2002 · 4.8K citations

Natural Sciences, Computer Science, Mathematics +16

Distinguishing Noise from Chaos

Osvaldo A. Rosso, H.A. Larrondo, María T. Martín et al. · Physical Review Letters · 2007 · 711 citations · Full text

Natural Sciences, Mathematics, Physics +12

Detecting dynamical changes in time series using the permutation entropy

Wen‐wen Tung, Jianbo Gao, V. Protopopescu et al. · Physical Review E · 2004 · 545 citations

Natural Sciences, Biostatistics, Neuroscience +10

Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

Tiziana Di Matteo, Tomaso Aste, Michel M. Dacorogna · Journal of Banking & Finance · 2004 · 434 citations

Business, Economics, Finance +17

The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient

Daniel O. Cajueiro, Benjamin Miranda Tabak · Physica A Statistical Mechanics and its Applications · 2004 · 405 citations · Full text

Social Sciences, Economics, Finance +10