9 citations · 20 across the 4 of their papers we have counts for
4 papers
Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy
Claudiu Vinte, Marcel Ausloos
Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market indices, or other portfolios is of great importance to professiona…
An Intrinsic Entropy Model for Exchange-Traded Securities
Claudiu Vinte, Ion Smeureanu, Titus-Felix Furtuna +1
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the gene…
A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model
Claudiu Vinte, Marcel Ausloos, Titus Felix Furtuna
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivat…
The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator
Claudiu Vinte, Marcel Ausloos
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic en…