2 papers
q-fin.ST2025
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…
q-fin.ST2023
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…