Conditional entropy and randomness in financial time series

DOI10.1088/1469-7688/1/4/302zbMATH Open1405.91706OpenAlexW2128539894MaRDI QIDQ4646497FDOQ4646497

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

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

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zbMATH Keywords

predictionfinancial time seriesconditional entropyrandomness

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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