Physics – Physics and Society
Scientific paper
2005-09-29
Physics
Physics and Society
8 pages, 2 figures, presented in the conference Next Sigma-Phi 2005
Scientific paper
10.1140/epjb/e2006-00113-2
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.
Dionisio Andreia
Mendes Diana A.
Menezes Rui
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