Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 284-288

  Urbanowicz, Krzysztof ^a   Hołyst, Janusz A ^a  

^a WARSAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Noise level estimation; Portfolio diversification; Stock market data; Time series

Indexed keywords

COMPUTATIONAL METHODS; DATA RECORDING; ENTROPY; FUNCTIONS; INVENTORY CONTROL; MARKETING; SPURIOUS SIGNAL NOISE;

DOW JONES INDEX; NOISE MARKET DATA; PORTFOLIO DIVERSIFICATION; STOCK EXCHANGE;

TIME SERIES ANALYSIS;

EID: 5444226012     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.133     Document Type: Conference Paper

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