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pro vyhledávání: '"Shternshis, Andrey"'
We present a generative modeling approach based on the variational inference framework for likelihood-free simulation-based inference. The method leverages latent variables within variational autoencoders to efficiently estimate complex posterior dis
Externí odkaz:
http://arxiv.org/abs/2411.14511
Autor:
Shternshis, Andrey, Marmi, Stefano
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 statistical test for the predictability of a sequence based on empirical f
Externí odkaz:
http://arxiv.org/abs/2312.16637
Autor:
Shternshis, Andrey, Mazzarisi, Piero
Shannon entropy is the most common metric to measure the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world systems may be in general non stationary, with an entropy value that is
Externí odkaz:
http://arxiv.org/abs/2211.05415
Publikováno v:
Shternshis, A.; Mazzarisi, P.; Marmi, S. Efficiency of the Moscow Stock Exchange before 2022. Entropy 2022, 24, 1184
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low for most o
Externí odkaz:
http://arxiv.org/abs/2207.10476
Publikováno v:
In Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear Science, and Nonequilibrium and Complex Phenomena September 2022 162
Autor:
Shternshis, Andrey1,2 (AUTHOR) andrey.shternshis@sns.it, Mazzarisi, Piero1,3 (AUTHOR)
Publikováno v:
Decisions in Economics & Finance. Jun2024, Vol. 47 Issue 1, p215-258. 44p.
When prices reflect all available information, the price dynamics is a martingale and the market is said to be ef-ficient. However, much empirical evidence supports the conclusion about the inefficiency of financial markets, especially at high-freque
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::00a6019f277aa21728fc02c9d0d3ffd5
https://hdl.handle.net/11384/129004
https://hdl.handle.net/11384/129004
Publikováno v:
Entropy; Volume 24; Issue 9; Pages: 1184
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low for most o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d95c0cf261c07b54ea1394139ac2436