Wavelet based sample entropy analysis: A new method to test weak form market efficiency

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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Bibliographic Details
Main Authors: Anoop S. KUMAR, B. KAMAIAH
Format: Article
Language:English
Published: General Association of Economists from Romania 2014-08-01
Series:Theoretical and Applied Economics
Subjects:
EMH
efficiency
transfer entropy
wavelets
equity markets
Online Access: http://store.ectap.ro/articole/1007.pdf

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