Inscriere cercetatori

Premii Ad Astra

premii Ad Astra

Asociația Ad Astra a anunțat câștigătorii Premiilor Ad Astra 2022: http://premii.ad-astra.ro/. Proiectul și-a propus identificarea și popularizarea modelelor de succes, a rezultatelor excepționale ale cercetătorilor români din țară și din afara ei.

Asociatia Ad Astra a cercetatorilor romani lanseaza BAZA DE DATE A CERCETATORILOR ROMANI DIN DIASPORA. Scopul acestei baze de date este aceea de a stimula colaborarea dintre cercetatorii romani de peste hotare dar si cu cercetatorii din Romania. Cercetatorii care doresc sa fie nominalizati in aceasta baza de date sunt rugati sa trimita un email la cristian.presura@gmail.com

Inside the Black Box: Informational Entropy of High – Frequency Data on Forex Market

Domenii publicaţii > Economie + Tipuri publicaţii > Articol în revistã ştiinţificã

Autori: Dima, B., Dima (Cristea), S., Preda, C.

Editorial: Economic Computation and Economic Cybernetics Studies and Research, 2(46), p.63-78, 2012.

Rezumat:

The current period of financial and real instability questions the usual approaches concerning financial markets’ operating mechanisms. Thus, several alternatives have been proposed in order to provide a more realistic description of markets’ mechanisms. Among these, the Fractal Market Hypothesis accounts for discontinuous and non-periodical evolutions in financial assets’ prices. The proposed study analyzes the main properties of Rény’s entropy estimated for 139,671 intra-day observations on USD/CAD exchange rate over various time scales. The paper argues that if the Fractal Market Hypothesis stands, than the respective properties are conserved despite the shifts from high to low frequency. Overall there are some empirical evidences supporting such time-scale invariance. However, these evidences ought to be interpreted with caution since the shifts from high to low frequency do not entirely preserve the entropic characteristics of data.

Cuvinte cheie: : FX market, USD/CAD exchange rate, Fractal Market Hypothesis, Rény’s entropy, high frequency data

URL: http://www.ecocyb.ase.ro/