A multiscale entropy approach for market efficiency
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References listed on IDEAS
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- Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016.
"An entropy-based early warning indicator for systemic risk,"
Journal of International Financial Markets, Institutions and Money,
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- Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & de Oliveira, Wilson & Stosic, Tatijana, 2016. "Foreign exchange rate entropy evolution during financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 233-239.
- Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & Stosic, Tatijana, 2016. "Correlations of multiscale entropy in the FX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 52-61.
More about this item
KeywordsMarket efficiency; Entropy; Dow Jones Index; Cycle;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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