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• W3147215742 abstract "Abstract: Due to the strong complexity of financial markets, economics does not have aunified theory of price formation in financial markets. The most common assumption is theEfficient-Market Hypothesis, which has been attacked by a number of researchers, usingdifferent tools. There were varying degrees to which these tools complied with the formaldefinitionsofefficiencyandpredictability. Inourearlierwork,weanalysedthepredictabilityof stock returns at two time scales using the entropy rate, which can be directly linked to themathematical definition of predictability. Nonetheless, none of the above-mentioned studiesallow any general understanding of how the financial markets work, beyond disproving theEfficient-Market Hypothesis. In our previous study, we proposed the Maximum EntropyProductionPrinciple, whichusestheentropyratetocreateageneralprincipleunderlyingthepriceformationprocesses. Bothofthesestudiesshowthatthepredictabilityofpricechangesis higher at the transaction level intraday scale than the scale of daily returns, but ignore allscales in between. In this study we extend these ideas using the multiscale entropy analysisframework to enhance our understanding of the predictability of price formation processesat various time scales.Keywords: predictability; market efficiency; information theory1. IntroductionPrices constitute a keyindicator of the state of economic systems and, as such, inquiries into behaviorof prices are an important part of economics and financial studies. It is commonly assumed thatprices change randomly (Efficient-Market Hypothesis) [1], but for complex adaptive systems we maysuspect this randomness not to be perfect. Even though assessing predictability in social sciences is" @default.
• W3147215742 created "2021-04-13" @default.
• W3147215742 creator A5082530931 @default.
• W3147215742 date "2015-01-01" @default.
• W3147215742 modified "2023-09-27" @default.
• W3147215742 title "Multiscale Analysis of the Predictability of Stock Returns" @default.
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• W3147215742 hasPublicationYear "2015" @default.
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