Information content of liquidity and volatility measures

DOI10.1016/j.physa.2020.125436OpenAlexW3092820994MaRDI QIDQ2165679

Barbara Będowska-Sójka, Agata Kliber

Publication date: 22 August 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125436

zbMATH Keywords

mutual informationcausalityvolatilityliquidityinformation contenttransfer entropy

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• RTransferEntropy
• infotheo

Cites Work

• A Mathematical Theory of Communication
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• Multifractal diffusion entropy analysis: optimal bin width of probability histograms
• Comparison of transfer entropy methods for financial time series
• Characterization of time series via Rényi complexity-entropy curves
• THE ENTROPY THEORY OF BOND OPTION PRICING
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Realized Volatility
• What Are the Best Liquidity Proxies for Global Research?*
• Testing Stability of Correlations Between Liquidity Proxies Derived from Intraday Data on the Warsaw Stock Exchange
• Handbook of Volatility Models and Their Applications
• PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS

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