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Visibility graph combined with information theory: an estimator of stock market efficiency
Gonçalves, Bruna Amin; Atman, A. P. F. - In: The journal of network theory in finance 3 (2017) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011730885
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Structural breaks and the time-varying levels of weak-form efficiency in crude oil markets : Evidence from the Hurst exponent and Shannon entropy methods
Mensi, Walid; Beljid, Makram; Managi, Shunsuke - In: International economics : a journal published by CEPII … 140 (2014), pp. 89-106
Persistent link: https://www.econbiz.de/10011525285
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Measuring capital market efficiency : long-term memory, fractal dimension and approximate entropy
Kristoufek, Ladislav; Vošvrda, Miloslav S. - 2014
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index …
Persistent link: https://www.econbiz.de/10010407497
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Covid-19 and informational efficiency in Asian emerging markets : a comparative study of conventional and Shariah-compliant stocks
Raza, Muhammad Wajid; Said, Bahrawar; Elshahat, Ahmed - In: International journal of Islamic and Middle Eastern … 16 (2023) 3, pp. 576-592
Persistent link: https://www.econbiz.de/10014339875
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Revisiting the volatility of bitcoin with approximate entropy
Nassim Dehouche - In: Cogent economics & finance 10 (2022) 1, pp. 1-18
, historically, Bitcoin combines high Standard Deviation and low Approximate Entropy, relative to Gold and S&P 500. Moreover …
Persistent link: https://www.econbiz.de/10013464749
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Symbolic shadowing and the computation of entropy for observed time series
Mendes, Diana A.; Mendes, Vivaldo M.; Feirreira, Nuno; … - In: Econophysics approaches to large-scale business data …, (pp. 227-246). 2010
Persistent link: https://www.econbiz.de/10008701516
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Maximum entropy test for autoregressive models
Lee, Sangyeol; Park, Siyun - In: Uncertainty analysis in econometrics with applications …, (pp. 119-128). 2013
Persistent link: https://www.econbiz.de/10009711159
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Entropy testing for nonlinearity in time series
Giannerini, Simone; Maasoumi, Esfandiar; Dagum, Estela Bee - 2013
Persistent link: https://www.econbiz.de/10009784915
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Foreign-exchange rate dynamics : An empirical study using maximum entropy spectral analysis
Callen, Jeffrey L. - In: Journal of business & economic statistics : JBES ; a … 3 (1985) 2, pp. 149-155
Persistent link: https://www.econbiz.de/10001977213
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Symbolic transfer entropy test for causality in longitudinal data
Camacho, Maximo; Romeu, Andres; Ruiz Marín, Manuel - In: Economic modelling 94 (2021), pp. 649-661
Persistent link: https://www.econbiz.de/10012695248