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Entropy rate and profitability of technical analysis: experiments on the NYSE US 100 stocks
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.
https://hal.inria.fr/inria-00168347
Contributor : Nicolas Navet <>
Submitted on : Monday, August 27, 2007 - 4:09:12 PM
Last modification on : Friday, February 26, 2021 - 3:28:07 PM
Long-term archiving on: : Thursday, April 8, 2010 - 9:28:45 PM
Contributor : Nicolas Navet <>
Submitted on : Monday, August 27, 2007 - 4:09:12 PM
Last modification on : Friday, February 26, 2021 - 3:28:07 PM
Long-term archiving on: : Thursday, April 8, 2010 - 9:28:45 PM
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CIEF2007_NN_SHC_AT.pdf
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