Information content of liquidity and volatility measures

DOI10.1016/J.PHYSA.2020.125436MaRDI QIDQ2165679zbMATH OpenOpenAlexFDO

Authors Barbara Będowska-Sójka, Agata Kliber

Publication date 22 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2020.125436

zbMATH Keywords

causalityinformation contentliquiditymutual informationtransfer entropyvolatility

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A Mathematical Theory of Communication
• Applications of entropy in finance: a review
• Characterization of time series via Rényi complexity-entropy curves
• Comparison of transfer entropy methods for financial time series
• Diversified portfolios with different entropy measures
• Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
• Handbook of Volatility Models and Their Applications
• Improving the value at risk forecasts: theory and evidence from the financial crisis
• Multifractal diffusion entropy analysis: optimal bin width of probability histograms
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS
• Realized Volatility
• Testing stability of correlations between liquidity proxies derived from intraday data on the Warsaw Stock Exchange
• THE ENTROPY THEORY OF BOND OPTION PRICING
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Threshold bipower variation and the impact of jumps on volatility forecasting
• What are the best liquidity proxies for global research?

Cited in

(2)

• Modeling variance risk in financial markets using power-laws: new evidence from the Garman-Klass variance estimator
• Options-driven volatility forecasting

Describes a project that uses

Uses Software

• infotheo
• RTransferEntropy

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