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Shannon entropy to quantify complexity in the financial market

Authors :
Carranza, Alexis Rodriguez
Bejarano, José Luis Ponte
Bejarano, Juan Carlos Ponte
Abanto, Segundo Eloy Soto
Publication Year :
2023

Abstract

In this paper we study the complexity in the information traffic that occurs in the peruvian financial market, using the Shannon entropy. Different series of prices of shares traded on the Lima stock exchange are used to reconstruct the unknown dynamics. We present numerical simulations on the reconstructed dynamics and we calculate the Shannon entropy to measure its complexity

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2307.08666
Document Type :
Working Paper