Cargando…
An Entropy-Based Approach to Measurement of Stock Market Depth
The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized. The proposed entropy-based market depth indicator is supported b...
| Autores principales: | , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2021
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8147648/ https://www.ncbi.nlm.nih.gov/pubmed/34063670 http://dx.doi.org/10.3390/e23050568 |