The Tale of Two Financial Crises: An Entropic Perspective
AbstractThis paper provides a comparative analysis of stock market dynamics of the 1987 and 2008 financial crises and discusses the extent to which risk management measures based on entropy can be successful in predicting aggregate market expectations. We find that the Tsallis entropy is more appropriate for the short and sudden market crash of 1987, while the approximate entropy is the dominant predictor of the prolonged, fundamental crisis of 2008. We conclude by suggesting the use of entropy as a market sentiment indicator in technical analysis. View Full-Text
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Gençay, R.; Gradojevic, N. The Tale of Two Financial Crises: An Entropic Perspective. Entropy 2017, 19, 244.
Gençay R, Gradojevic N. The Tale of Two Financial Crises: An Entropic Perspective. Entropy. 2017; 19(6):244.Chicago/Turabian Style
Gençay, Ramazan; Gradojevic, Nikola. 2017. "The Tale of Two Financial Crises: An Entropic Perspective." Entropy 19, no. 6: 244.
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