How long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average index

DOI10.1016/J.PHYSA.2016.02.030zbMath1400.62319OpenAlexW2284509752MaRDI QIDQ1619493

Yanmin Shao, Rong-Bao Gu

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.02.030

zbMATH Keywords

predictionentropyDCCAstock market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (1)

Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 index

Cites Work

• A Mathematical Theory of Communication
• A new statistic and practical guidelines for nonparametric Granger causality testing
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Statistical inference in vector autoregressions with possibly integrated processes
• The structure and resilience of financial market networks
• Cross-correlations between volume change and price change
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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