Bandt, Christoph - In: Statistical Papers 61 (2020) 4, pp. 1565-1588
Order patterns and permutation entropy have become useful tools for studying biomedical, geophysical or climate time series. Here we study day-to-day market data, and Brownian motion which is a good model for their order patterns. A crucial point is that for small lags (1 up to 6 days), pattern...