This is a summary of links featured on Quantocracy on Thursday, 06/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Concepts of Entropy in Finance: Transfer entropy [Quant Dare]The concept of entropy has many useful applications in finance such as measuring risk, uncertainty, or noise in a signal. In this post we will focus on transfer entropy, a useful tool for causal inference between financial time series. What is entropy? Entropy in general represents the uncertainty, ambiguity, and disorder of a stochastic process. The concept of entropy has been introduced in many