Market Efficiency and Entropy of Foreign Exchange Markets and Stock Markets

In this work we apply two different methods to estimate the relative entropy of foreign exchange mar-kets and stock markets. The first method uses relative entropy with the volatility probability distribu-tion obtained from the solution of the Fokker-Planck equation of the Heston model corresponding to the financial information in each case [1]. The second method is the approximate entropy proposed by Pincus et al [2]. The results were compared with standard measures of weak efficiency such as the Geary test and the autocorrelation function. The relative entropy is used as a measure of stability and maturity of financial markets from financial information of some considered emerging market