Fiedor, Paweł - In: Risks : open access journal 3 (2015) 2, pp. 219-233
efficiency and predictability. In our earlier work, we analysed the predictability of stock returns at two time scales using the … entropy rate, which can be directly linked to the mathematical definition of predictability. Nonetheless, none of the above … general principle underlying the price formation processes. Both of these studies show that the predictability of price …