Please use this identifier to cite or link to this item:

Title: Entropic information theory applied to uncertainty in financial markets
Authors: Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Editors: Dionísio, Andreia
Heitor Reis, António
Namorado Rosa, Rui
Keywords: Entropy
Mutual Information
Financial Markets
Issue Date: 2006
Publisher: Universidade de Évora
Citation: 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.
Abstract: 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.
ISBN: 244676/06
Type: article
Appears in Collections:CEFAGE - Artigos em Livros de Actas/Proceedings

Files in This Item:

File Description SizeFormat
pag.23 PE I.pdfAbstract614.18 kBAdobe PDFView/Open
indice PE I.pdfIndice187.75 kBAdobe PDFView/Open
capa PEI.pdfCapa391.37 kBAdobe PDFView/Open
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Dspace Dspace
DSpace Software, version 1.6.2 Copyright © 2002-2008 MIT and Hewlett-Packard - Feedback
UEvora B-On Curriculum DeGois