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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...
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| 出版年: | Entropy (Basel) |
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| 主要な著者: | , |
| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
MDPI
2021
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| 主題: | |
| オンライン･アクセス: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8147648/ https://ncbi.nlm.nih.gov/pubmed/34063670 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e23050568 |
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