Information measure for financial time series: quantifying short-term market heterogeneity

A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked according to their size to form a probability distribution function and finally fed in the expression of the Shannon entropy. In this work, such entropy measure is implemented on the time series of prices and volatilities of six financial markets. The analysis has been performed, on tick-by-tick data sampled every minute for six years of data from 1999 to 2004, for a broad range of moving average windows and volatility horizons. The study shows that the entropy of the volatility series depends on the individual market, while the entropy of the price series is practically a market-invariant for the six markets. Finally, a cumulative information measure - the `Market Heterogeneity Index'- is derived from the integral of the proposed entropy measure. The values of the Market Heterogeneity Index are discussed as possible tools for optimal portfolio construction and compared with those obtained by using the Sharpe ratio a traditional risk diversity measure

Discussing landscape compositional scenarios generated with maximization of non-expected utility decision models based on weighted entropies

Concept PaperThe search for hypothetical optimal solutions of landscape composition is a major issue in landscape planning and it can be outlined in a two-dimensional decision space involving economic value and landscape diversity, the latter being considered as a potential safeguard to the provision of services and externalities not accounted in the economic value. In this paper, we use decision models with different utility valuations combined with weighted entropies respectively incorporating rarity factors associated to Gini-Simpson and Shannon measures. A small example of this framework is provided and discussed for landscape compositional scenarios in the region of Nisa, Portugal. The optimal solutions relative to the different cases considered are assessed in the two-dimensional decision space using a benchmark indicator. The results indicate that the likely best combination is achieved by the solution using Shannon weighted entropy and a square root utility function, corresponding to a risk-averse behavior associated to the precautionary principle linked to safeguarding landscape diversity, anchoring for ecosystem services provision and other externalities. Further developments are suggested, mainly those relative to the hypothesis that the decision models here outlined could be used to revisit the stability-complexity debate in the field of ecological studiesinfo:eu-repo/semantics/publishedVersio

Implementation of a single monetary policy to achieve nominal and real convergence in the Еuropean union

U doktorskoj disertaciji razmatrana su teorijska i empirijska određenja nominalne i realne konvergencije u Evropskoj uniji u kontekstu implementacije jedinstvene monetarne politike zemalja članica Evropske unije, čime je istovremeno opredeljen predmet istraživanja. Bolje razumevanje primene jedinstvene monetarne politike afirmiše značaj istraživanja u ovoj oblasti a teorijska i empirijska analiza kreiraju rezultate koji će predstavljati značajan naučno praktičan doprinos. Na temelju adekvatne pripreme empirijskog istraživanja nalazi se i konstruktivna teorijska osnova, te je u kontekstu obezbeđivanja naučne zasnovanosti i adekvatne pripreme podataka konsultovan značajan broj autora i njihovih dela kako bi se obezbedio adekvatan teorijski okvir kao uvertira za empirijsko istraživanje. U empirijskom delu disertacije predstavljena su dva originalna konceptualno metodološka okvira analize. Entropijska analiza koja je zasnovana na analizi konvergencije i merenju regionalnih razlika među zemljama članicama je korišćena u cilju merenja visine i stepena ekonomske konvergencije. Strukturno modelovanje jednačina za razvrstavanje pojedinih instrumenata implementacije monetarne politike i empirijskog identifikovanja kvaliteta implementirane politike u Evropskoj uniji upotrebljeno je u cilju identifikovanja stepena nominalne i realne konvergencije. Rezultati istraživanja utvrdiće kauzalne odnose ekonomskih politika na cene i realnu ekonomiju, koji će ukazati na neophodnost jače i dublje koordinacije monetarne i fiskalne politike.Тhe doctoral dissertation discusses the theoretical and empirical determinants of nominal and real convergence in the European Union in the context of the implementation of the single monetary policy of the EU member states, which simultaneously determines the subject of research. A better understanding of the application of the single monetary policy affirms the importance of research in this area, and theoretical and empirical analysis creates results that will represent a significant scientific and practical contribution. Based on the adequate preparation of empirical research, there is a constructive theoretical basis, and in the context of providing scientific basis and adequate data preparation, a significant number of authors and their works were consulted in order to provide an adequate theoretical framework as an overture for empirical research. In the empirical part of the dissertation, two original conceptual and methodological frameworks of analysis are presented. Entropy analysis based on the analysis of convergence and the measurement of regional differences between member states was used in order to measure the amount and degree of economic convergence. The structural modeling of equations for the classification of individual instruments of monetary policy implementation and empirical identification of the quality of implemented policy in the European Union was used in order to identify the degree of nominal and real convergence. The results of the research will determine the causal relations of economic policies on prices and the real economy, which will indicate the need for stronger and deeper coordination of monetary and fiscal policy