A maximum entropy method to assess the predictability of financial and commodity prices

Benedetto, Francesco; Giunta, Gaetano; Mastroeni, Loretta

doi:10.1016/j.dsp.2015.08.001

Cited by 35 publications

(27 citation statements)

References 44 publications

(68 reference statements)

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“…So, using the entropy method to determine index weights could provide realistic and objective insight into the CEIC vulnerability system. The four main steps [41,44] taken are as follows.…”

Section: Entropy Weightmentioning

confidence: 99%

“…Entropy method [41] is an objective empowerment approach used to reflect the disorder degree of information in information theories, which now has been expanded to social and economic areas [40,41,47,98,99]. The weights of individual indicators are determined by calculating the entropy and entropy weight of each of them.…”

Section: Entropy Weightmentioning

confidence: 99%

“…In this research, the authors first selected indices of vulnerability by using the entropy method. The entropy method is a common method to generate the objective weight of index system [40,41]. The next method used in this research is Set Pair Analysis (SPA), which is a novel method to target the uncertainty in a system [42,43].…”

Section: Vulnerabilitymentioning

confidence: 99%

Section: Entropy Weightmentioning

confidence: 99%

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A New Systematic Approach to Vulnerability Assessment of Innovation Capability of Construction Enterprises

et al. 2015

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Abstract:The purpose of this research is to study the vulnerability of construction enterprises' innovation capabilities (CEIC) and their respective primary influencing factors. This paper proposed a vulnerability system framework of CEIC, designed two comprehensive assessments for analysis, namely the entropy and set pair analysis method (E-SPA) and the principle cluster analysis and SPA method (P-SPA), and compared grades to verify the vulnerability assessments. Further, the paper quantitatively assessed the major influencing factors in facilitating management, reducing vulnerability, and improving the ability of construction enterprises to respond to changes in the construction industry. The results showed that vulnerability could be effectively and systematically evaluated using E-SPA. However, managing or reducing entrepreneurial sensitivity and improving the ability to respond was critical to supporting sustainable CEIC. The case studies included in this paper suggested that in ensuring sustainable CEIC, companies should concentrate on highly educated human resources, R&D investments, intellectual property related innovations, and government support. This research provided a practical framework and established a sustainable strategy for companies to manage their vulnerability in developing innovation capability. In addition, this research presented an innovative and effective way to quantitatively analyze vulnerability which offered a foundation to signify a new paradigm shift in construction sustainable development.

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“…So, using the entropy method to determine index weights could provide realistic and objective insight into the CEIC vulnerability system. The four main steps [41,44] taken are as follows.…”

Section: Entropy Weightmentioning

confidence: 99%

Section: Entropy Weightmentioning

confidence: 99%

Section: Vulnerabilitymentioning

confidence: 99%

Section: Entropy Weightmentioning

confidence: 99%

See 2 more Smart Citations

A New Systematic Approach to Vulnerability Assessment of Innovation Capability of Construction Enterprises

et al. 2015

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“…Although attempting to model natural phenomena has a long history, the recent application of nature inspired algorithms like firefly algorithm [6], neuro fuzzy technique [7] and genetic programming [8] in the area of soft computing and also recent improvements in forecasting approaches [9,10], has lead to more accurate analysis and predictions, and thereby causing a noticeable growth of interest in this field [11][12][13][14][15][16][17][18]. However, attempts at improving signal extraction and forecasting using bio-inspired algorithms is a relatively new area of research.…”

Section: Introductionmentioning

confidence: 99%

From nature to maths: Improving forecasting performance in subspace-based methods using genetics Colonial Theory

Hassani

Ghodsi

Silva

et al. 2016

Digital Signal Processing

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Many scientific fields consider accurate and reliable forecasting methods as important decision-making tools in the modern age amidst increasing volatility and uncertainty. As such there exists an opportune demand for theoretical developments which can result in more accurate forecasts. Inspired by Colonial Theory, this paper seeks to bring about considerable improvements to the field of time series analysis and forecasting by identifying certain core characteristics of Colonial Theory which are subsequently exploited in introducing a novel approach for the grouping step of subspace based methods. The proposed algorithm shows promising results in terms of improved performances in noise filtering and forecasting of time series. The reliability and validity of the proposed algorithm is evaluated and compared with popular forecasting models with the results being thoroughly evaluated for statistical significance and thereby adding more confidence and value to the findings of this research.

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Modeling the flow of information between financial time-series by an entropy-based approach

2019

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A maximum entropy method to assess the predictability of financial and commodity prices

Cited by 35 publications

References 44 publications

A New Systematic Approach to Vulnerability Assessment of Innovation Capability of Construction Enterprises

A New Systematic Approach to Vulnerability Assessment of Innovation Capability of Construction Enterprises

From nature to maths: Improving forecasting performance in subspace-based methods using genetics Colonial Theory

Modeling the flow of information between financial time-series by an entropy-based approach

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