Price predictability at ultra-high frequency: entropy-based randomness test
From MaRDI portal
Publication:6669783
DOI10.1016/J.CNSNS.2024.108469MaRDI QIDQ6669783
Stefano Marmi, Andrey Shternshis
Publication date: 22 January 2025
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Could not fetch data.
Cites Work
- Title not available (Why is that?)
- A Mathematical Theory of Communication
- Permutation entropy of fractional Brownian motion and fractional Gaussian noise
- Technical trading and cryptocurrencies
- A non-parametric test for independence based on symbolic dynamics
- Entropy and the consistent estimation of joint distributions
- On the use and interpretation of certain test criteria for purposes of statistical inference. I, II.
- A singular value decomposition approach for testing the efficiency of bitcoin and ethereum markets
- Forecasting high-frequency stock returns: a comparison of alternative methods
- The likelihood test of independence in contingency tables.
- Measuring market efficiency: the Shannon entropy of high-frequency financial time series
- Limit order books
- Statistical Methods in Markov Chains
- The Long Memory of the Efficient Market
- Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
- Continuous Auctions and Insider Trading
- Limit Distributions for a Statistical Estimate of the Entropy
- The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
- Entropy estimation of symbol sequences
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
- Statistical properties of stock order books: empirical results and models
- A simulation analysis of the microstructure of double auction markets*
- The Econometrics of Ultra-high-frequency Data
- Stock market uncertainty and economic fundamentals: an entropy-based approach
- Irregularity, volatility, risk, and financial market time series
- Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
- On Information and Sufficiency
- Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
- A statistical test of market efficiency based on information theory
- Variance of entropy for testing time-varying regimes with an application to meme stocks
This page was built for publication: Price predictability at ultra-high frequency: entropy-based randomness test
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6669783)