Shannon entropy to quantify complexity in the financial market

2023/07/05 by Alexis Rodríguez Carranza, Carranza, Alexis Rodriguez, José Luis Ponte Bejarano +5
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Complex Systems and Time Series Analysis #Evolutionary Algorithms and Applications #FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech)

paper · pdf · doi:10.48550/arxiv.2307.08666

openalex publication_date 2023/07/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we study the complexity in the information traffic that occurs in the peruvian financial market, using the Shannon entropy. Different series of prices of shares traded on the Lima stock exchange are used to reconstruct the unknown dynamics. We present numerical simulations on the reconstructed dynamics and we calculate the Shannon entropy to measure its complexity

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