7 citations · 7 across the 4 of their papers we have counts for
4 papers
Emergence of Randomness in Temporally Aggregated Financial Tick Sequences
Silvia Onofri, Andrey Shternshis, Stefano Marmi
Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodol…
Price predictability at ultra-high frequency: Entropy-based randomness test
Andrey Shternshis, Stefano Marmi
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a stat…
Variance of entropy for testing time-varying regimes with an application to meme stocks
Andrey Shternshis, Piero Mazzarisi
Shannon entropy is the most common metric to measure the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world sy…
Efficiency of the Moscow Stock Exchange before 2022
Andrey Shternshis, Piero Mazzarisi, Stefano Marmi
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We sho…