A Comparative Analysis of Variance and Generalized Cumulative Residual Entropy in Stock Market

摘要：

The investor is not only interested in the expected return, he is also concerned with the risk assumed by the investment and the uncertainty. One of the concepts more used to measure risk and uncertainty is the variance or the standard-deviation, another is Shannon entropy. In this paper, we will use another concept—generalized cumulative residual entropy (GCRE) to measure risk and uncertainty and compare it with standard-deviation and Shannon entropy, then conclude standard-deviation and generalized cumulative residual entropy is a positive linear correlation.

关键词： Shannons entropy Generalized cumulative residual entropy Variance Heavy-tailed distribution

作者: YANG Lijuan LI Xingsi

作者单位: Jilin Agricultural Science and Technology College, Jilin, China, 132101 State Key Laboratory of Structural Analysis for Industrial Equipment, Dalian University of Technolog

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 118-122

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）