ArticleEntropy (Basel, Switzerland)2023
Entropy of Financial Time Series Due to the Shock of War.
Article in Entropy (Basel, Switzerland), 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 17 papers.
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Who cites it
17 citing papers in PubMed.
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- Statistical Distribution and Entropy of Multi-Scale Returns: A Coarse-Grained Analysis and Evidence for a New Stylized Fact.Entropy (Basel, Switzerland) · 2026Article
- Entropy and Chaos-Based Modeling of Nonlinear Dependencies in Commodity Markets.Entropy (Basel, Switzerland) · 2025Article
- Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations.Entropy (Basel, Switzerland) · 2025Article
- Iterative Forecasting of Financial Time Series: The Greek Stock Market from 2019 to 2024.Entropy (Basel, Switzerland) · 2025Article
- Entropy-Assisted Quality Pattern Identification in Finance.Entropy (Basel, Switzerland) · 2025Article
- Signatures of Extreme Events in Cumulative Entropic Spectrum.Entropy (Basel, Switzerland) · 2025Article
- Selected Topics in Time Series Forecasting: Statistical Models vs. Machine Learning.Entropy (Basel, Switzerland) · 2025Review
- Analysis of the Spatiotemporal Heterogeneity and Influencing Factors of Regional Economic Resilience in China.Entropy (Basel, Switzerland) · 2024Article
- Entropy corrected geometric Brownian motion.Scientific reports · 2024Article
- Entropy-Based Volatility Analysis of Financial Log-Returns Using Gaussian Mixture Models.Entropy (Basel, Switzerland) · 2024Article
- Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy: Analysis of a Central Bank Announcement.Entropy (Basel, Switzerland) · 2024Article
- Open Problems within Nonextensive Statistical Mechanics.Entropy (Basel, Switzerland) · 2024Review
- Entropy of the Canonical Occupancy (Macro) State in the Quantum Measurement Theory.Entropy (Basel, Switzerland) · 2024Article
- Slope Entropy Characterisation: An Asymmetric Approach to Threshold Parameters Role Analysis.Entropy (Basel, Switzerland) · 2024Article
- Expecting the Unexpected: Entropy and Multifractal Systems in Finance.Entropy (Basel, Switzerland) · 2023Article
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4 authors.
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No grant is acknowledged in the PubMed record.
Abstract
The concept of entropy is not uniquely relevant to the statistical mechanics but, among others, it can play pivotal role in the analysis of a time series, particularly the stock market data. In this area, sudden events are especially interesting as they describe abrupt data changes with potentially long-lasting effects. Here, we investigate the impact of such events on the entropy of financial time series. As a case study, we assume data of the Polish stock market, in the context of its main cumulative index, and discuss it for the finite time periods before and after outbreak of the 2022 Russian invasion of Ukraine. This analysis allows us to validate the entropy-based methodology in assessing changes in the market volatility, as driven by the extreme external factors. We show that some qualitative features of such market variations can be well captured in terms of the entropy. In particular, the discussed measure appears to highlight differences between data of the two considered timeframes in agreement with the character of their empirical distributions, which is not always the case in terms of the conventional standard deviation. Moreover, the entropy of cumulative index averages, qualitatively, the entropies of composing assets, suggesting capability for describing interdependencies between them. The entropy is also found to exhibit signatures of the upcoming extreme events. To this end, the role of recent war in shaping the current economic situation is briefly discussed.
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Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.