Complexity-entropy causality plane: a useful approach to quantify the stock market inefficiency

The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [Rosso~\\textit{et al.}, Phys. Rev. Lett. \\textbf{99} (2007) 154102]. We propose to use this representation space to distinguish the stage of stock market development. Our empirical results demonstrate that this statistical physics approach is useful, allowing a more refined classification of stock market dynamics.