101 citations · 198 across the 11 of their papers we have counts for
6 papers · 1 filter
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…
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…
Modeling non-stationarities in high-frequency financial time series
Linda Ponta, Mailan Trinh, Marco Raberto +2
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. Howev…
The Size Variance Relationship of Business Firm Growth Rates
Massimo Riccaboni, Fabio Pammolli, Sergey V. Buldyrev +2
The relationship between the size and the variance of firm growth rates is known to follow an approximate power-law behavior where is the firm size and $β…