Modeling the Comovement of Entropy between Financial Markets

In this paper, I propose a methodology to study the comovement between the entropy of different financial markets. The entropy is derived using singular value decomposition of the components of stock market indices in financial markets from selected developed economies, i.e., France, Germany, the Un...

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Bibliographic Details
Main Author: Petre Caraiani
Format: Article
Language:English
Published: MDPI AG 2018-05-01
Series:Entropy
Subjects:
Online Access:http://www.mdpi.com/1099-4300/20/6/417