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

DOI10.1016/J.CHAOS.2022.112403MaRDI QIDQ2677401zbMATH OpenOpenAlexFDO

Authors Andrey Shternshis, Piero Mazzarisi, 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

high frequencymarket efficiencyprice stalenessShannon entropyzero 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) Auctions, bargaining, bidding and selling, and other market models (91B26) Economic time series analysis (91B84) Measures of information, entropy (94A17)

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Cited in

(4)

• A statistical test of market efficiency based on information theory
• Chaos measure dynamics in a multifactor model for financial market predictions
• Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
• Price predictability at ultra-high frequency: entropy-based randomness test

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