Osvaldo A. Rosso

Universidade Federal de Alagoas

Av. Lourival Melo Mota

Tabuleiro dos Martins

Maceió-AL, 57072-900

Brazil

SCHOLARLY PAPERS

7

DOWNLOADS

319

SSRN CITATIONS
Rank 30,348

SSRN RANKINGS

Top 30,348

in Total Papers Citations

4

CROSSREF CITATIONS

22

Scholarly Papers (7)

1.

On the Efficiency of Sovereign Bond Markets

Physica A: Statistical Mechanics and Its Applications, Volume 391, Issue 18, pp. 4342-4349, 2012, DOI: 10.1016/j.physa.2012.04.009
Number of pages: 20 Posted: 13 Oct 2015
Centro de Investigaciones Opticas (CONICET La Plata - CIC), Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 74 (353,769)

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sovereign bond market efficiency, complexity-entropy causality plane, permutation entropy, permutation statistical complexity, Bandt and Pompe method, ordinal time series analysis

2.

Crude Oil Market and Geopolitical Events: An Analysis Based on Information-Theory-Based Quantifiers

Fuzzy Economic Review, Vol. 21, No. 1, p. 41-51
Number of pages: 11 Posted: 14 Apr 2017
Aurelio F. Bariviera, Luciano Zunino and Osvaldo A. Rosso
Rovira i Virgili University - Department of Business, Centro de Investigaciones Opticas (CONICET La Plata - CIC) and Universidade Federal de Alagoas
Downloads 64 (382,240)

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Econophysics, permutation entropy, permutation statistical complexity, WTI, informational efficiency, geopolitical events

3.

An Analysis of High-Frequency Cryptocurrencies Prices Dynamics Using Permutation-Information-Theory Quantifiers

Chaos 28, 075511 (2018); DOI/10.1063/1.5027153
Number of pages: 17 Posted: 13 Aug 2018
Aurelio F. Bariviera, Luciano Zunino and Osvaldo A. Rosso
Rovira i Virgili University - Department of Business, Centro de Investigaciones Opticas (CONICET La Plata - CIC) and Universidade Federal de Alagoas
Downloads 54 (415,153)
Citation 3

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cryptocurrency; permutation entropy, permutation statistical complexity, complexity-entropy causality plane, informational efficiency

4.

The (In)Visible Hand in the Libor Market: An Information Theory Approach

Eur. Phys. J. B 88 (8) 208 (2015), DOI: 10.1140/epjb/e2015-60410-1
Number of pages: 19 Posted: 10 Oct 2015
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 51 (425,783)

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Econophysics, noise and chaos, Libor, entropy, complexity

5.

Efficiency and Credit Ratings: A Permutation-Information-Theory Analysis

Journal of Statistical Mechanics: Theory and Experiment, No. 8, 2013, DOI: 10.1088/1742-5468/2013/08/P08007
Number of pages: 23 Posted: 13 Oct 2015
Rovira i Virgili University - Department of Business, Centro de Investigaciones Opticas (CONICET La Plata - CIC), Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 28 (527,868)
Citation 1

Abstract:

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Corporate bonds, oil and energy sectors, market efficiency, complexity-entropy causality plane, permutation entropy, permutation complexity

6.

A Permutation Information Theory Tour Through Different Interest Rate Maturities: The Libor Case

Phil. Trans. R. Soc. A 373, 2015, DOI: org/10.1098/rsta.2015.0119
Number of pages: 17 Posted: 13 Oct 2015
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 27 (533,541)

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financial crisis, Libor manipulation, interest rates, information theory, permutation entropy, Fisher information measure

7.

Libor at Crossroads: Stochastic Switching Detection Using Information Theory Quantifiers

Chaos, Solitons & Fractals, 2016
Number of pages: 20 Posted: 29 Apr 2016
Rovira i Virgili University - Department of Business, Independent, National University of the South - Instituto de Investigaciones Económicas y Sociales del Sur (IIESS) and Universidade Federal de Alagoas
Downloads 21 (570,653)

Abstract:

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Libor, permutation entropy, permutation statistical complexity, information theory