Entropy Variations of Multi-Scale Returns of Optimal and Noise Traders Engaged in “Bucket Shop Trading”

In this paper a comparative, coarse grained, entropy data analysis of multi-scale log-returns distribution, produced by an ideal “optimal trader” and one thousand “noise traders” performing “bucket shop” trading, by following four different financial daily indices, is presented. A sole optimal trade...

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Bibliographic Details

Published in:	Mathematics
Main Authors:	Alejandro Raúl Hernández-Montoya, Carlos Manuel Rodríguez-Martínez, Manuel Enríque Rodríguez-Achach, David Hernández-Enríquez
Format:	Article
Language:	English
Published:	MDPI AG 2022-01-01
Subjects:	financial markets entropy price trends multi-scale returns optimal trader noise trader
Online Access:	https://www.mdpi.com/2227-7390/10/2/215