the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an … analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the …

the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an … analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the …

for our method. -- Information Theory ; Maximum Entropy ; GARCH ; Volatility …We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …

Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two … generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better … performance in some illustrative data sets. -- Entropy density ; Skewness ; Kurtosis, GARCH …

Cybersemiotics claims that the standard uses of the Shannon information concept as applied on systems with cognition … role of entropy in semiosis. Entropy comes into full play if semiosis is seen as a purely physical process involving causal … sign. Recognizing this duality, the Gibbs/Jaynes notion of entropy can be added to the picture, which shares an essential …

; insider model ; Shannon information ; information difference ; entropy ; differential entropy …The background for the general mathematical link between utility and information theory investigated in this paper is a … simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is …

Markov chain approach allows the definition of relative market entropy, quantifying the amount of information gained from day … market's potential to spread information, which is related to the eigenvector structure of spillover matrices. Secondly, a … to day. A further entropy concept can be related to the speed of shock digestion and network stability. As an empirical …