Entropic information theory applied to uncertainty in financial markets

Detalhes bibliográficos
Autor(a) principal: Dionísio, Andreia
Data de Publicação: 2006
Outros Autores: Menezes, Rui, Mendes, Diana
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/6084
Resumo: One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification.
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spelling Entropic information theory applied to uncertainty in financial marketsEntropyMutual InformationUncertaintyFinancial MarketsOne of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification.Universidade de Évora2012-11-29T11:56:37Z2012-11-292006-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/6084http://hdl.handle.net/10174/6084porDionísio, A., Menezes, R. e Mendes, D. (2006.) Entropic information theory applied to uncertainty in financial markets in Proceedings of the Workshop Perspectives on Econophysics, editado por Andreia Dionísio, A. Heitor Reis e Rui N. Rosa, Universidade de Évora.244676/06andreia@uevora.ptrui.menezes@iscte.ptdiana.mendes@iscte.pt637Dionísio, AndreiaMenezes, RuiMendes, Dianainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:45:28Zoai:dspace.uevora.pt:10174/6084Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:01:01.370043Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Entropic information theory applied to uncertainty in financial markets
title Entropic information theory applied to uncertainty in financial markets
spellingShingle Entropic information theory applied to uncertainty in financial markets
Dionísio, Andreia
Entropy
Mutual Information
Uncertainty
Financial Markets
title_short Entropic information theory applied to uncertainty in financial markets
title_full Entropic information theory applied to uncertainty in financial markets
title_fullStr Entropic information theory applied to uncertainty in financial markets
title_full_unstemmed Entropic information theory applied to uncertainty in financial markets
title_sort Entropic information theory applied to uncertainty in financial markets
author Dionísio, Andreia
author_facet Dionísio, Andreia
Menezes, Rui
Mendes, Diana
author_role author
author2 Menezes, Rui
Mendes, Diana
author2_role author
author
dc.contributor.author.fl_str_mv Dionísio, Andreia
Menezes, Rui
Mendes, Diana
dc.subject.por.fl_str_mv Entropy
Mutual Information
Uncertainty
Financial Markets
topic Entropy
Mutual Information
Uncertainty
Financial Markets
description One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification.
publishDate 2006
dc.date.none.fl_str_mv 2006-01-01T00:00:00Z
2012-11-29T11:56:37Z
2012-11-29
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/6084
http://hdl.handle.net/10174/6084
url http://hdl.handle.net/10174/6084
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Dionísio, A., Menezes, R. e Mendes, D. (2006.) Entropic information theory applied to uncertainty in financial markets in Proceedings of the Workshop Perspectives on Econophysics, editado por Andreia Dionísio, A. Heitor Reis e Rui N. Rosa, Universidade de Évora.
244676/06
andreia@uevora.pt
rui.menezes@iscte.pt
diana.mendes@iscte.pt
637
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade de Évora
publisher.none.fl_str_mv Universidade de Évora
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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