An information theory approach to stock market liquidity

DOI10.1063/5.0213429MaRDI QIDQ6592503FDOQ6592503

Authors: S. Bianchi, Vittoria Bruni, Massimiliano Frezza, Silvia Marconi, Augusto Pianese, Barbara Vantaggi, Domenico Vitulano 

Publication date: 26 August 2024

Published in: Chaos (Search for Journal in Brave)

Mathematics Subject Classification ID

Dynamical systems and ergodic theory (37-XX) Ordinary differential equations (34-XX)

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• The Normalized Compression Distance Is Resistant to Noise
• A distribution-based method to gauge market liquidity through scale invariance between investment horizons

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