An information theory approach to stock market liquidity

DOI10.1063/5.0213429MaRDI QIDQ6592503zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.1063/5.0213429

Mathematics Subject Classification ID

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

Cites work

• A distribution-based method to gauge market liquidity through scale invariance between investment horizons
• A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY
• An introduction to Kolmogorov complexity and its applications
• Clustering by Compression
• scientific article; zbMATH DE number 1808203 (Why is no real title available?)
• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• Kolmogorov's contributions to information theory and algorithmic complexity
• Scaling, self-similarity and multifractality in FX markets
• Semi-Stable Stochastic Processes
• Shared Information and Program Plagiarism Detection
• The Normalized Compression Distance Is Resistant to Noise
• The Similarity Metric

This page was built for publication: An information theory approach to stock market liquidity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6592503)