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- Title
Parameters for Estimation of Entropy to Study Price Manipulation in Stock Markets.
- Authors
Reddy, Y. V.; Sebastian, A.
- Abstract
The information theoretic concept of entropy is a useful tool in studying price manipulation in stock markest, Sample entropy values computed for the price data of a scrip, for various trading days in the period during which the scrip is reported to be subject to price manipulation, prove to be potential evidence for manipulation of the scrip's price. An attempt is made in this paper to select appropriate values for the parameters used for computation of sample entropy of a short time series of stack prices.
- Subjects
INDIA; PRICE fixing; STOCK price indexes; ENTROPY (Information theory); STOCHASTIC processes; STOCK exchanges
- Publication
Decision (0304-0941), 2007, Vol 34, Issue 1, p149
- ISSN
0304-0941
- Publication type
Article