Shannon entropy: an econophysical approach to cryptocurrency portfolios
arXiv:2210.02633 · doi:10.3390/e24111583
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.
arXiv comment14 pages, 5 figures, submitted to Entropy
References in corpus (7)
- Multiscale characteristics of the emerging global cryptocurrency market
- Nonextensive statistical mechanics and economics
- Levels of complexity in financial markets
- Entropy-Based Financial Asset Pricing
- An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market
- Financial Return Distributions: Past, Present, and COVID-19
- Transactional Interpretation for the Principle of Minimum Fisher Information