Wavelet based sample entropy analysis: A new method to test weak form market efficiency
In this article, we analyze informational efficiency in daily returns of NASDAQ, DJIA and S&P 500 indices ranging from 04-01-1980 to 12-09-2013.We replace the traditional coarse graining method used in multi-scale entropy analysis by a Maximal Overlap Discreet Wavelet Transform decomposition and...
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Format: | Article |
Language: | English |
Published: |
General Association of Economists from Romania
2014-08-01
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Series: | Theoretical and Applied Economics |
Subjects: | |
Online Access: |
http://store.ectap.ro/articole/1007.pdf
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