We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a symbolic representation of this time series. By deriving the exact and the asymptotic distribution of this market information indicator in the case where the efficient market hypothesis holds, we develop a statistical test of market efficiency. We apply it to a real dataset of stock indices, single stock, and cryptocurrency, for which we are able to determine at each date whether the efficient market hypothesis is to be rejected, with respect to a given confidence level.
翻译:我们通过使用信息理论的广泛工具,即香农通则,对这个时间序列的象征性表示应用了这一信息理论,从而确定特定时间尺度价格回报时间序列所含信息的数量。通过得出这一市场信息指标在有效市场假设存在的情况下的确切和无规律分布,我们开发了市场效率的统计测试。我们将其应用到股票指数、单一股票和加密货币等真实数据集中,我们可以在每一天确定在某种信任水平上是否拒绝有效的市场假设。