An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market

Detalhes bibliográficos
Autor(a) principal: Dionísio, A.
Data de Publicação: 2006
Outros Autores: Menezes, R., Mendes, D. A.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/id/ci-pub-38425
http://hdl.handle.net/10071/14275
Resumo: In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.
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spelling An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock marketIn recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.Springer2017-08-10T11:47:31Z2006-01-01T00:00:00Z20062017-08-10T11:46:22Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/id/ci-pub-38425http://hdl.handle.net/10071/14275eng1434-602810.1140/epjb/e2006-00113-2Dionísio, A.Menezes, R.Mendes, D. A.info: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:RCAAP2023-11-09T17:29:13Zoai:repositorio.iscte-iul.pt:10071/14275Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:13:03.904033Repositório 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 An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
title An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
spellingShingle An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
Dionísio, A.
title_short An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
title_full An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
title_fullStr An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
title_full_unstemmed An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
title_sort An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
author Dionísio, A.
author_facet Dionísio, A.
Menezes, R.
Mendes, D. A.
author_role author
author2 Menezes, R.
Mendes, D. A.
author2_role author
author
dc.contributor.author.fl_str_mv Dionísio, A.
Menezes, R.
Mendes, D. A.
description In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.
publishDate 2006
dc.date.none.fl_str_mv 2006-01-01T00:00:00Z
2006
2017-08-10T11:47:31Z
2017-08-10T11:46:22Z
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 https://ciencia.iscte-iul.pt/id/ci-pub-38425
http://hdl.handle.net/10071/14275
url https://ciencia.iscte-iul.pt/id/ci-pub-38425
http://hdl.handle.net/10071/14275
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1434-6028
10.1140/epjb/e2006-00113-2
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
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
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