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Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market

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  • Gu, Rongbao
  • Xiong, Wei
  • Li, Xinjie

Abstract

This paper analyzes the predictive ability of the singular value decomposition entropy for the Shenzhen Component Index based on different scales. It is found that, the predictive ability of the entropy for the index is affected by the width of moving time windows and the structural break in stock market. By moving time windows with one year, the predictive power of singular value decomposition entropy of Shenzhen stock market for its component index is found after the reform of non-tradable shares.

Suggested Citation

  • Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
    • Handle: RePEc:eee:phsmap:v:439:y:2015:i:c:p:103-113
    DOI: 10.1016/j.physa.2015.07.028
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