Measuring market efficiency: the Shannon entropy of high-frequency financial time series

DOI10.1016/j.chaos.2022.112403zbMath1506.91129OpenAlexW4285384464MaRDI QIDQ2677401

Piero Mazzarisi, Andrey Shternshis, Stefano Marmi

Publication date: 13 January 2023

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2022.112403

zbMATH Keywords

Shannon entropymarket efficiencyhigh frequencyprice stalenesszero returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Measures of information, entropy (94A17)

Related Items (2)

A statistical test of market efficiency based on information theory ⋮ Chaos measure dynamics in a multifactor model for financial market predictions

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