Entropy analysis of univariate biomedical signals: Review and comparison of methods

H Azami, L Faes, J Escudero… - Frontiers in Entropy …, 2023 - World Scientific
Nonlinear techniques have found an increasing interest in the dynamical analysis of various
kinds of systems. Among these techniques, entropy-based metrics have emerged as …

Entropy trading strategies reveal inefficiencies in Japanese stock market

L Efremidze, DJ Stanley, C Kownatzki - International Review of Economics …, 2021 - Elsevier
We empirically test the weak-form of the Efficient Market Hypothesis on Japanese equity
markets with trading strategies timing both large and small capitalization portfolios. We find …

Entropy Augmented Asset Pricing Model: Study on Indian Stock Market

H Mishra, P Barai - Asia-Pacific Financial Markets, 2023 - Springer
This study explores the effectiveness of entropy as a proxy of aggregate market risk, in
explaining the cross-section of excess returns in asset pricing model, after controlling for …

Capital flow surges as bubbles: Behavioral finance and McKinnon's over-borrowing syndrome extended

L Efremidze, J Rutledge, TD Willett - The Singapore Economic …, 2016 - World Scientific
This paper explores how behavioral finance and complexity economics, along with imperfect
information, faulty mental models and perverse incentive structures can cast light on the …

[HTML][HTML] Entropy-based financial asset pricing: Evidence from Pakistan

S Wang, SA Khan, M Munir, R Alhajj, YA Khan - PloS one, 2022 - journals.plos.org
Entropy is an alternative measure to calculate the risk, simplify the portfolios and equity risk
premium. It has higher explanatory power than capital asset price model (CAPM) beta. The …

Application of VIX and entropy indicators for portfolio rotation strategies

G Jadhao, A Chandra - Research in International Business and Finance, 2017 - Elsevier
In our study, we use sample entropy and approximate entropy indicators− derived from the
India Volatility Index (India VIX)− to explore the feasibility of style, size and time horizon …

[PDF][PDF] Predicting the FTSE China A50 Index Movements Using Sample Entropy

H AKEEL - The Journal of Asian Finance, Economics and …, 2022 - researchgate.net
This research proposes a novel trading method based on sample entropy for the FTSE
China A50 Index. The approach is used to determine the points at which the index should be …

Empirical implementation of entropy risk factor model: A test on Chilean peso

L Efremidze, DJ Stanley, A Park… - Physica A: Statistical …, 2019 - Elsevier
Currencies are used by many investors as a speculative or investment instrument. Their
movements are complex and there are exchange rate models which suggest how to predict …

[PDF][PDF] Entropy risk factor model of exchange rate prediction

DJ Stanley, L Efremidze, J Rossouw - International Journal of …, 2017 - academia.edu
We investigate the predictability of an exchange rate with entropy risk factor model, as there
is growing evidence that financial markets behave as complex systems. The model is tested …

[PDF][PDF] Trading of White Maize/Witmielies July Domestic Future Prices Utilizing Entropy Analytics

L Efremidze, J Rossouw, DJ Stanley… - … Economic Society of …, 2017 - 2017.essa.org.za
This paper examines the effectiveness of Entropy Analytics on trading of the South African
July domestic futures market for white maize traded on the South African Futures Exchange …