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An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market

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Andreia Dionisio
Rui Menezes
Diana A. Mendes

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Abstract

In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.

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File URL: http://arxiv.org/abs/physics/0509250
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number physics/0509250.

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Date of creation: Sep 2005
Date of revision: Sep 2005
Handle: RePEc:arx:papers:physics/0509250

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  1. Jean-Philippe Bouchaud & Marc Potters & Jean-Pierre Aguilar, 1997. "Missing information and asset allocation," Science & Finance (CFM) working paper archive 500045, Science & Finance, Capital Fund Management. [Downloadable!]
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