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- W164684498 abstract "The entropy rate of a dynamic process measures the uncertainty that remains in the next information produced by the process given complete knowledge of the past. It is thus a natural measure of the difficulty to predict the evolution of the process. The first question investigated here is whether stock price time series exhibit temporal dependencies that can be measured through entropy estimates. Then we study the extent to which the return of financial trading rules is correlated with the entropy rates of the price time series. Experiments are conducted on EOD data of the stocks composing the NYSE US 100 index during period 2000–2006, with the use of Genetic Programming to induce the trading rules." @default.
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- W164684498 date "2007-07-01" @default.
- W164684498 modified "2023-09-26" @default.
- W164684498 title "Entropy Rate and Profitability of Technical Analysis:" @default.
- W164684498 doi "https://doi.org/10.1142/9789812709677_0073" @default.
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