Conditional entropy and randomness in financial time series

DOI10.1088/1469-7688/1/4/302MaRDI QIDQ4646497zbMATH OpenOpenAlexFDO

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

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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