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Title: An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
Authors: Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Keywords: Information theory and communication theory
Entropy, uncertainty
Issue Date: 2006
Publisher: Springer
Abstract: 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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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