Abstract
Several studies have found the successive prices at which trades of shares are executed in a stock exchange to form times series with non-linear characteristics. Invariants of a non- linear time series of share prices contain; valuable information, about the patterns in the share prices, which factor may be useful in the analysis of share prices for various purposes. Of the commonly used invariants, entropy is found to be a useful tool in studying price manipulation in stock market. Among the various versions of entropy, simple entropy computed for the price dada o f a share, for various trading days in the period during which the share was reported to be subject to price manipulation, proves to be potential evidence for manipulation of the share's price. This paper studies the suitability of sample entropy of non-linear time series of share prices and also the selection of appropriate values for the parameters used for computation of sample entropy of a short time series of share prices, for investigating into price manipulation in stock market.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
