101 citations · 198 across the 11 of their papers we have counts for
11 papers
Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity
L. Ponta, A. Carbone
The Kullback-Leibler cluster entropy is evaluated for the empirical and model probability distributions and of the clusters formed in the realize…
Relative cluster entropy for power-law correlated sequences
A. Carbone, L. Ponta
We propose an information-theoretical measure, the \textit{relative cluster entropy} , to discriminate among cluster partitions characterised by probabili…
Inferring Multi-Period Optimal Portfolios via Detrending Moving Average Cluster Entropy
P. Murialdo, L. Ponta, A. Carbone
Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio. We address this question by proposing t…
Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach
Pietro Murialdo, Linda Ponta, Anna Carbone
A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information…
Quantifying horizon dependence of asset prices: a cluster entropy approach
L. Ponta, A. Carbone
Market dynamic is quantified in terms of the entropy of the clusters formed by the intersections between the series of the prices and the moving average $\widetilde{…
Information measure for financial time series: quantifying short-term market heterogeneity
Linda Ponta, Anna Carbone
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields…