Long-Range Dependence in Financial Markets: A Moving Average Cluster Entropy Approach
نویسندگان
چکیده
منابع مشابه
Long range dependence in financial markets
The notions of self-similarity, scaling, fractional processes and long range dependence have been repeatedly used to describe properties of financial time series: stock prices, foreign exchange rates, market indices and commodity prices. We discuss the relevance of these concepts in the context of financial modelling, their relation with the basic principles of financial theory and possible eco...
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ژورنال
عنوان ژورنال: Entropy
سال: 2020
ISSN: 1099-4300
DOI: 10.3390/e22060634