Information Transition in Trading and Its Effect on Market Efficiency: An Entropy Approach

DOI10.1007/978-981-15-8373-5_4zbMath1460.91262OpenAlexW3039983685MaRDI QIDQ5855888

Jing Chen, A. G. Hawkes, Steve Y. Yang, Anqi Liu

Publication date: 22 March 2021

Published in: Financial Mathematics and Fintech (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-8373-5_4

zbMATH Keywords

efficient market hypothesisintraday tradingfinancial reportsinformation transition

Mathematics Subject Classification ID

Economics of information (91B44) Financial markets (91G15)

Cites Work

• A Mathematical Theory of Communication
• News Dissemination and Investor Attention*
• Using transfer entropy to measure information flows between financial markets

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