Accessibility navigation

Information entropy and measures of market risk

Lists
Tools

Pele, D. T., Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300

[img]
Preview
 Text (Open Access) - Published Version
· Available under License Creative Commons Attribution.
· Please see our End User Agreement before downloading.
1MB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.3390/e19050226

Abstract/Summary

In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship is then used to forecast daily Value-at-Risk, using the entropy of the distribution of intraday returns as a predictor.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:70371
Publisher:MDPI Publishing
Download Statistics

Downloads

Downloads per month over past year

Altmetric
Deposit Details

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation

See also