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

DOI10.1016/j.physa.2019.04.055OpenAlexW2943781756MaRDI QIDQ2163662

Mihail Busu, Cristian Busu

Publication date: 10 August 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.055

zbMATH Keywords

entropysingular value decompositionstock marketGranger causalitycorrelation matrixDJGT index

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Statistical inference in vector autoregressions with possibly integrated processes
• How long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average index
• Entropy and predictability of stock market returns.
• An entropy-based approach for measuring complexity in supply chains
• Modeling Multiple Times Series with Applications
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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