FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2963270223> ?p ?o ?g. }

• W2963270223 abstract "In our previous studies we have investigated the structural complexity of time series describing stock returns on New York's and Warsaw's stock exchanges, by employing two estimators of Shannon's entropy rate based on Lempel-Ziv and Context Tree Weighting algorithms, which were originally used for data compression. Such structural complexity of the time series describing logarithmic stock returns can be used as a measure of the inherent (model-free) predictability of the underlying price formation processes, testing the Efficient -- Market Hypothesis in practice. We have also correlated the estimated predictability with the profitability of standard trading algorithms, and found that these do not use the structure inherent in the stock returns to any significant degree. To find a way to use the structural complexity of the stock returns for the purpose of predictions we propose the Maximum Entropy Production Principle as applied to stock returns, and test it on the two mentioned markets, inquiring into whether it is possible to enhance prediction of stock returns based on the structural complexity of these and the mentioned principle." @default.
• W2963270223 created "2019-07-30" @default.
• W2963270223 creator A5031455091 @default.
• W2963270223 date "2015-12-01" @default.
• W2963270223 modified "2023-09-30" @default.
• W2963270223 title "Maximum Entropy Production Principle for Stock Returns" @default.
• W2963270223 cites W1482886841 @default.
• W2963270223 cites W1489773237 @default.
• W2963270223 cites W1542075762 @default.
• W2963270223 cites W1592802655 @default.
• W2963270223 cites W1968884246 @default.
• W2963270223 cites W1978279032 @default.
• W2963270223 cites W1985556836 @default.
• W2963270223 cites W1993588719 @default.
• W2963270223 cites W1995270069 @default.
• W2963270223 cites W1995875735 @default.
• W2963270223 cites W2000970619 @default.
• W2963270223 cites W2002116790 @default.
• W2963270223 cites W2003424691 @default.
• W2963270223 cites W2019796175 @default.
• W2963270223 cites W2034424695 @default.
• W2963270223 cites W2059742055 @default.
• W2963270223 cites W2060590556 @default.
• W2963270223 cites W2068902190 @default.
• W2963270223 cites W2084600505 @default.
• W2963270223 cites W2087475940 @default.
• W2963270223 cites W2093976521 @default.
• W2963270223 cites W2094802673 @default.
• W2963270223 cites W2099111195 @default.
• W2963270223 cites W2102985846 @default.
• W2963270223 cites W2107745473 @default.
• W2963270223 cites W2119893119 @default.
• W2963270223 cites W2129902114 @default.
• W2963270223 cites W2133645112 @default.
• W2963270223 cites W2142439271 @default.
• W2963270223 cites W2147067777 @default.
• W2963270223 cites W2150531337 @default.
• W2963270223 cites W2151176735 @default.
• W2963270223 cites W2163294786 @default.
• W2963270223 cites W2480760323 @default.
• W2963270223 cites W2486083357 @default.
• W2963270223 cites W2497099222 @default.
• W2963270223 cites W571141297 @default.
• W2963270223 cites W620442993 @default.
• W2963270223 doi "https://doi.org/10.1109/ssci.2015.106" @default.
• W2963270223 hasPublicationYear "2015" @default.
• W2963270223 type Work @default.
• W2963270223 sameAs 2963270223 @default.
• W2963270223 citedByCount "3" @default.
• W2963270223 countsByYear W29632702232015 @default.
• W2963270223 countsByYear W29632702232016 @default.
• W2963270223 crossrefType "proceedings-article" @default.
• W2963270223 hasAuthorship W2963270223A5031455091 @default.
• W2963270223 hasBestOaLocation W29632702232 @default.
• W2963270223 hasConcept C10138342 @default.
• W2963270223 hasConcept C105795698 @default.
• W2963270223 hasConcept C106301342 @default.
• W2963270223 hasConcept C121332964 @default.
• W2963270223 hasConcept C125252325 @default.
• W2963270223 hasConcept C127413603 @default.
• W2963270223 hasConcept C129361004 @default.
• W2963270223 hasConcept C149782125 @default.
• W2963270223 hasConcept C154945302 @default.
• W2963270223 hasConcept C162324750 @default.
• W2963270223 hasConcept C185429906 @default.
• W2963270223 hasConcept C197640229 @default.
• W2963270223 hasConcept C204036174 @default.
• W2963270223 hasConcept C33923547 @default.
• W2963270223 hasConcept C41008148 @default.
• W2963270223 hasConcept C44415725 @default.
• W2963270223 hasConcept C509619924 @default.
• W2963270223 hasConcept C62520636 @default.
• W2963270223 hasConcept C78519656 @default.
• W2963270223 hasConcept C9679016 @default.
• W2963270223 hasConceptScore W2963270223C10138342 @default.
• W2963270223 hasConceptScore W2963270223C105795698 @default.
• W2963270223 hasConceptScore W2963270223C106301342 @default.
• W2963270223 hasConceptScore W2963270223C121332964 @default.
• W2963270223 hasConceptScore W2963270223C125252325 @default.
• W2963270223 hasConceptScore W2963270223C127413603 @default.
• W2963270223 hasConceptScore W2963270223C129361004 @default.
• W2963270223 hasConceptScore W2963270223C149782125 @default.
• W2963270223 hasConceptScore W2963270223C154945302 @default.
• W2963270223 hasConceptScore W2963270223C162324750 @default.
• W2963270223 hasConceptScore W2963270223C185429906 @default.
• W2963270223 hasConceptScore W2963270223C197640229 @default.
• W2963270223 hasConceptScore W2963270223C204036174 @default.
• W2963270223 hasConceptScore W2963270223C33923547 @default.
• W2963270223 hasConceptScore W2963270223C41008148 @default.
• W2963270223 hasConceptScore W2963270223C44415725 @default.
• W2963270223 hasConceptScore W2963270223C509619924 @default.
• W2963270223 hasConceptScore W2963270223C62520636 @default.
• W2963270223 hasConceptScore W2963270223C78519656 @default.
• W2963270223 hasConceptScore W2963270223C9679016 @default.
• W2963270223 hasLocation W29632702231 @default.
• W2963270223 hasLocation W29632702232 @default.
• W2963270223 hasLocation W29632702233 @default.
• W2963270223 hasOpenAccess W2963270223 @default.
• W2963270223 hasPrimaryLocation W29632702231 @default.
• W2963270223 hasRelatedWork W1523570866 @default.

• next