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Hi Abhishek this is not part of any asssigment. Absolutely . I am doing my own researches for time series predictability and it seems entropy analysis could be useful I am working at cycle analysis and forecast. For more info I am on skype with my nick and also for mail @google.com Thank...

Thank you very much for the link you provide, attached is a .txt daily data serie: can you please try to compute the entropy (shannon or / and any other you prefer) on this serie such as the picture on my previous reply? I will code it in Java but any other language is good, so C, C++ etc...

Hi Kumarab, one more question: in your opinion, how do I have to do to come to a Shannon entropy plot such as the image below? Where red line is the Nasdaq time serie and blue line is the Shannon entropy. Thank you very much. Alberto

Thank you very much Kumarab, your suggestion really helpful.

Well, let's do a practical example: 1) take log diff of the original serie 2) suppose we create 5 bins so that: -2 : return <= -2,5% -1 : return <= -0.5% > -2.5% 0 : return > -0.5% <+0.5% +1 : return > +0.5% < +2.5% +2 : return >= +2.5% 3) ???

Hi all, I am new here, just registered: I would like to code in Java the Shannon entropy for financial time series but the process to follow it is not fully clear to me: for what I have seen so far it seems that entropy is computed on log diff, then 3 different states are defined (return...