Shannon entropy: an econophysical approach to cryptocurrency portfolios

Abstract

Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradition we show that many of the most available cryptocurrencies have return statistics that do not follow Gaussian distributions but heavy--tailed distributions instead. Entropy measures are also applied showing that portfolio diversification is a reasonable practice for decreasing return uncertainty.

14 pages, 5 figures, submitted to Entropy

References in corpus (3)

• Entropy-Based Financial Asset Pricing
• Financial Return Distributions: Past, Present, and COVID-19
• Transactional Interpretation for the Principle of Minimum Fisher Information

Cited by in corpus (1)

• Entropy of financial time series due to the shock of war