Conditional entropy and randomness in financial time series

DOI10.1088/1469-7688/1/4/302zbMath1405.91706OpenAlexW2128539894MaRDI QIDQ4646497

M. D. London, Martin J. Turner, Allan K. Evans

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/1/4/302

zbMATH Keywords

predictionconditional entropyfinancial time seriesrandomness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Measures of information, entropy (94A17)

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