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Andrey Shternshis
Andrey Shternshis
Uppsala University, Department of Information Technology
Verified email at sns.it
Title
Cited by
Cited by
Year
Measuring market efficiency: The Shannon entropy of high-frequency financial time series
A Shternshis, P Mazzarisi, S Marmi
Chaos, solitons & fractals 162, 112403, 2022
272022
Efficiency of the Moscow stock exchange before 2022
A Shternshis, P Mazzarisi, S Marmi
Entropy 24 (9), 1184, 2022
82022
Variance of entropy for testing time-varying regimes with an application to meme stocks
A Shternshis, P Mazzarisi
Decisions in Economics and Finance, 1-44, 2024
22024
Price predictability at ultra-high frequency: Entropy-based randomness test
A Shternshis, S Marmi
arXiv preprint arXiv:2312.16637, 2023
2023
Shannon entropy and high frequency financial time series
A Shternshis
Scuola Normale Superiore, 2023
2023
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Articles 1–5