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

Detalhes bibliográficos
Autor(a) principal: Dionísio, Andreia
Data de Publicação: 2006
Outros Autores: Menezes, Rui, Mendes, Diana
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/1816
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 marketInformation theory and communication theoryEntropy, uncertaintyIn 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.Springer2009-11-16T15:49:21Z2009-11-162006-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article44635 bytesapplication/pdfhttp://hdl.handle.net/10174/1816http://hdl.handle.net/10174/1816eng161-16450The European Physical Journal Blivreandreia@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:RCAAP2024-01-03T18:37:45Zoai:dspace.uevora.pt:10174/1816Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:57:39.463792Repositório 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, Andreia
Information theory and communication theory
Entropy, uncertainty
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, 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 Information theory and communication theory
Entropy, uncertainty
topic Information theory and communication theory
Entropy, uncertainty
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
2009-11-16T15:49:21Z
2009-11-16
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/1816
http://hdl.handle.net/10174/1816
url http://hdl.handle.net/10174/1816
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 161-164
50
The European Physical Journal B
livre
andreia@uevora.pt
rui.menezes@iscte.pt
diana.mendes@iscte.pt
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dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
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