Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102701 | Physica A: Statistical Mechanics and its Applications | 2017 | 18 Pages |
Abstract
In this paper, we perform a multiscale entropy analysis on the Dow Jones Industrial Average Index using the Shannon entropy. The stock index shows the characteristic of multi-scale entropy that caused by noise in the market. The entropy is demonstrated to have significant predictive ability for the stock index in both long-term and short-term, and empirical results verify that noise does exist in the market and can affect stock price. It has important implications on market participants such as noise traders.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Rongbao Gu,