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Evaluating volatile stock markets using information theoretic measures

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  • Batra, Luckshay
  • Taneja, H.C.

Abstract

In this paper, we broaden the entropy concept for Indian financial markets to make a collation between markets which are highly volatile. We have considered seven different estimators of Shannon entropy; Tsallis entropy and Renyi entropy for various values of their parameters; and also Approximate entropy and Sample entropy. For all these entropies, we provide computational results for minute-wise and day-wise data in terms of NIFTY stock and NIFTY sector indices. We conclude that in context of sector wise indices and stock wise indices, NIFTY Pharma and NIFTY50 are the most volatile among other indices respectively.

Suggested Citation

  • Batra, Luckshay & Taneja, H.C., 2020. "Evaluating volatile stock markets using information theoretic measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    • Handle: RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315444
    DOI: 10.1016/j.physa.2019.122711
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    References listed on IDEAS

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    Cited by:

    1. Luckshay Batra & Harish Chander Taneja, 2022. "Comparison between Information Theoretic Measures to Assess Financial Markets," FinTech, MDPI, vol. 1(2), pages 1-18, May.
    2. Antoniades, I.P. & Karakatsanis, L.P. & Pavlos, E.G., 2021. "Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
    3. Batra, Luckshay & Taneja, H.C., 2021. "Approximate-Analytical solution to the information measure’s based quanto option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    4. Ioannis P. Antoniades & Leonidas P. Karakatsanis & Evgenios G. Pavlos, 2020. "Dynamical Characteristics of Global Stock Markets Based on Time Dependent Tsallis Non-Extensive Statistics and Generalized Hurst Exponents," Papers 2012.06856, arXiv.org, revised Apr 2021.
    5. Antonio Samuel Alves da Silva & Ikaro Daniel de Carvalho Barreto & Moacyr Cunha-Filho & Rômulo Simões Cezar Menezes & Borko Stosic & Tatijana Stosic, 2022. "Spatial and Temporal Variability of Precipitation Complexity in Northeast Brazil," Sustainability, MDPI, vol. 14(20), pages 1-16, October.

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