A singular value decomposition entropy approach for testing stock market efficiency

This work proposed an approach to test the efficient market hypothesis (EMH) based on the singular value decomposition (SVD) entropy. The entropy is computed from the singular value distribution of a matrix formed by lagged returns up to a scale n. To decide whether a time series is predictable, the estimated SVD entropy was compared with a reference entropy obtained from uncorrelated (white noise) time series of the same size. The application...