上海行业指数的熵、可预测性和信息效率之间的协同相互作用

IF 3.3 3区数学 Q1 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Fractals-Complex Geometry Patterns and Scaling in Nature and Society Pub Date : 2023-10-17 DOI:10.1142/s0218348x23501219

LEONARDO H. S. FERNANDES, FERNANDO H. A. DE ARAUJO, JOSÉ W. L. SILVA, MARCO C. M. FILHO, BENJAMIN M. TABAK

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引用次数: 1

摘要

考虑到三个不重叠的时期(COVID-19之前和期间以及俄罗斯-乌克兰战争期间)，我们探索了上证指数13个行业经济成分的每日收盘价时间序列的熵(无序)、可预测性和信息效率之间的协同相互作用。我们的研究结果表明，电信服务、金融和非必需消费品行业具有更高的信息效率。否则，工业、公用事业和运输部门的信息效率就会降低。这些见解对金融代理人在不断变化的市场环境中做出明智的决策、管理风险和寻求机会至关重要。

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THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX

We explore the synergic interplay between entropy (disorder), predictability, and informational efficiency of the daily closing price time series of 13 sectoral economics components of the Shanghai index letter considering three non-overlapping periods (before and during COVID-19 and Russia–Ukraine war). Our findings reveal that the telecom services, financials, and consumer discretionary sectors are marked by higher informational efficiency. Otherwise, the industrials, utilities, and transportation sectors exhibit lower informational efficiency. These insights are relevant for financial agents to make informed decisions, manage risk, and seek opportunities in an ever-changing market environment.

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来源期刊

Fractals-Complex Geometry Patterns and Scaling in Nature and Society 数学-数学跨学科应用

CiteScore

7.40

自引率

23.40%

发文量

319

审稿时长

>12 weeks

期刊介绍： The investigation of phenomena involving complex geometry, patterns and scaling has gone through a spectacular development and applications in the past decades. For this relatively short time, geometrical and/or temporal scaling have been shown to represent the common aspects of many processes occurring in an unusually diverse range of fields including physics, mathematics, biology, chemistry, economics, engineering and technology, and human behavior. As a rule, the complex nature of a phenomenon is manifested in the underlying intricate geometry which in most of the cases can be described in terms of objects with non-integer (fractal) dimension. In other cases, the distribution of events in time or various other quantities show specific scaling behavior, thus providing a better understanding of the relevant factors determining the given processes. Using fractal geometry and scaling as a language in the related theoretical, numerical and experimental investigations, it has been possible to get a deeper insight into previously intractable problems. Among many others, a better understanding of growth phenomena, turbulence, iterative functions, colloidal aggregation, biological pattern formation, stock markets and inhomogeneous materials has emerged through the application of such concepts as scale invariance, self-affinity and multifractality. The main challenge of the journal devoted exclusively to the above kinds of phenomena lies in its interdisciplinary nature; it is our commitment to bring together the most recent developments in these fields so that a fruitful interaction of various approaches and scientific views on complex spatial and temporal behaviors in both nature and society could take place.