Research Article
The Impact of COVID-19 Crisis on Stock Markets’ Statistical Complexity
Table 1
Critical values for test (with a 0.05 probability).
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Notes: Table 1 estimates the critical values for the proposed compound measure of complexity being equal to zero as a function of various types of series and different lengths for each of these types. The Brownian motion simulations are implemented in “somebm” R language package [22], while the method proposed by Paxson [23] to generate fractional Gaussian noise is implemented in “longmemo” R package [24, 25]. Despite their irregular and unpredictable character, the Gaussian/Brownian noises do not contain any nontrivial structure, so they cannot be viewed as “complex.” The Martin et al. [13] generalised (global) complexity measure, based on the Jenson–Shannon divergence, is implemented in Sippel et al. [18]. The complexity measure is normalised in the range [0, 1]. The figures are obtained via numerical simulation with 20,000 corresponding Gamma probability distributions and all the embedding dimensions between 2 and 6. |