Modeling the flow of information between financial time-series by an entropy-based approach

DOI10.1007/s10479-019-03319-7zbMath1477.62284OpenAlexW2960327436WikidataQ127465071 ScholiaQ127465071MaRDI QIDQ2241118

F. Benedetto, Pierluigi Vellucci, Loretta Mastroeni

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03319-7

zbMATH Keywords

modelinginformation contentfinancial time-seriescrude oil spot pricesentropy-based analysisvolatility indexes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)

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Cites Work

• Information-theoretic feature selection with discrete \(k\)-median clustering
• Self-organizing network for variable clustering
• Predicting pediatric clinic no-shows: a decision analytic framework using elastic net and Bayesian belief network
• Irregularity, volatility, risk, and financial market time series
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