Exploration of entropy on decision models. Nonlinear dependence, utility and socio-economics welfare analysis
- Universidade de Évora(líder)
- Instituto Superior de Ciências do Trabalho e da Empresa(parceiro)
Objetivos, atividades e resultados esperados/atingidos
Identification of sources of nonlinearity in financial time series; Modelling the possible nonlinear dependences and identifying its possible determinist and stochastic components; Testing entropy and mutual information as uncertainty measures in international stock markets; Exploration of the maximization of entropy as a possible approach in order to estimate Portuguese investor utility function.
Publications of books, papers and other scientific work; communications in international meetings; international conferences organized at ISCTE; seminars open to the scientific community held at ISCTE and other universities.