Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency

Texto completo arXiv:1112.2316v1Nowadays we are often faced with huge databases resulting from the rapid growth of data storage technologies. This is particularly true when dealing with music databases. In this context, it is essential to have techniques and tools able to discriminate properties from these massive sets. In this work, we report on a statistical analysis of more than ten thousand songs aiming to obtain a complexity hierarchy. Our approach is based on the estimation of the permutation entropy combined with an intensive complexity measure, building up the complexity-entropy causality plane. The results obtained indicate that this representation space is very promising to discriminate songs as well as to allow a relative quantitative com- parison among songs. Additionally, we believe that the here-reported method may be applied in practical situations since it is simple, robust and has a fast numerical implementation.The authors would like to thank an anonymous reviewer for his very helpful comments. Dr. Osvaldo A. Rosso is also acknowledged for useful discussions and valuable comments. HVR, RSM and EKL are grateful to CNPq and CAPES (Brazilian agencies) for the nancial support. HVR also thanks Angel A. Tateishi for the help with the music database and CAPES for nancial support under the process No 5678-11-0. LZ was supported by Consejo Nacional de Investigaciones Cient cas y T ecnicas (CONICET), Argentina.Peer reviewe