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On entropy, financial markets and minority games

机译：关于熵，金融市场和少数族裔博弈

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The paper builds upon an earlier statistical analysis of financial time series with Shannon information entropy, published in [L. Molgedey, W. Ebeling, Local order, entropy and predictability of financial time series, European Physical journal B-Condensed Matter and Complex Systems 15/4 (2000) 733-737]. A novel generic procedure is proposed for making multistep-ahead predictions of time series by building a statistical model of entropy. The approach is first demonstrated on the chaotic Mackey-Glass time series and later applied to Japanese Yen/US dollar intraday currency data. The paper also reinterprets Minority Games [E. Moro, The minority game: An introductory guide, Advances in Condensed Matter and Statistical Physics (2004)] within the context of physical entropy, and uses models derived from minority game theory as a tool for measuring the entropy of a model in response to time series. This entropy conditional upon a model is subsequently used in place of information-theoretic entropy in the proposed multistep prediction algorithm.
机译：本文建立在早期的对金融时间序列的统计分析基础上，该分析利用Shannon信息熵发表在[L. Molgedey，W. Ebeling，金融时间序列的局部顺序，熵和可预测性，欧洲物理杂志B-凝聚态物质和复杂系统15/4（2000）733-737]。提出了一种新颖的通用程序，用于通过建立熵统计模型对时间序列进行多步提前预测。该方法首先在混乱的Mackey-Glass时间序列上得到证明，然后应用于日元/美元盘中货币数据。本文还重新诠释了少数族裔游戏[E. Moro，少数群体博弈：入门指南，凝聚态物质和统计物理学的进展（2004年）]，并使用了从少数群体博弈论衍生的模型作为测量模型随时间变化的熵的工具系列。随后以模型为条件的该熵代替了所提出的多步预测算法中的信息理论熵。

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