THE CALCULATION OF ENTROPY OF FINANCIAL TIME SERIES

被引：0

作者：

Dostal, Petr ^{[1
]}

Kratochvil, Oldrich ^{[2
]}

机构：

[1] Brno Univ Technol, Fac Business & Management, Dept Informat, Kolejni 4, Brno 61200, Czech Republic

[2] European Polytech Inst Ltd, Kunovice 68604, Czech Republic

来源：

NINTH INTERNATIONAL CONFERENCE ON SOFT COMPUTING APPLIED IN COMPUTER AND ECONOMIC ENVIRONMENTS, ICSC 2011 | 2011年

关键词：

Entropy; financial time series; program; MATLAB;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A number of variations of calculation of entropy have been developed to measure the regularity of time series. The article deals with the calculation of approximate entropy used in physic. Some measures of time series can be made in financial branch. The article presents the used method of calculation programed in MATLAB. The case study is dedicated to evaluation of indexes of eastern states, such as Poland, Hungary, Estonia, Lithuania, Slovenia and Czechia.

引用

页码：121 / 124

页数：4