Entropy Test: Identifying the Dimension Where Deterministic Chaos is alive in Financial Markets

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • The approximate entropy test enables us to identify when deterministic chaotic patterns start in financial assets.
  • There are non-linear dependence patterns in the 3-day interval for the S&P500, precious metal ETFs, volatility ETFs, debt market ETFs, real-estate ETF, US dollar ETF, and cryptocurrencies.
  • We could not reject the hypothesis of linear dependence for the platinum ETF.
  • The I Know First AI algorithm allows for identifying non-linear dependencies in financial assets to find the most promising investment opportunities.

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Entropy Test: Identifying the Dimension Where Deterministic Chaos is Alive in the Stock Market.

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • The approximate entropy test enables us to identify when deterministic chaotic patterns start in financial assets.
  • The S&P500 index and its ETF SPDRs have non-linear dependence patterns from 3 days.
  • The I Know First AI algorithm allows for identifying non-linear dependencies in financial assets to find the most promising investment opportunities.

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