Entropic information theory applied to uncertainty in financial markets
Autor(a) principal: | |
---|---|
Data de Publicação: | 2006 |
Outros Autores: | , |
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. |
id |
RCAP_d0fc98f7555585d3079581efb19daca1 |
---|---|
oai_identifier_str |
oai:dspace.uevora.pt:10174/6084 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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 |
repository.mail.fl_str_mv |
|
_version_ |
1799136493390790656 |