Entropy analysis of univariate biomedical signals: Review and comparison of methods
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 …
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 …
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 …
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 …
information, faulty mental models and perverse incentive structures can cast light on the …
[HTML][HTML] Entropy-based financial asset pricing: Evidence from Pakistan
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 …
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 …
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 …
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 …
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 …
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 …
July domestic futures market for white maize traded on the South African Futures Exchange …