Corpus ID: 152334308

A relative information approach to financial time series analysis using binary $N$-grams dictionaries

  title={A relative information approach to financial time series analysis using binary \$N\$-grams dictionaries},
  author={Igor Borovikov and Michael G. Sadovsky},
  journal={arXiv: Statistical Finance},
Here we present a novel approach to statistical analysis of financial time series. The approach is based on $n$-grams frequency dictionaries derived from the quantized market data. Such dictionaries are studied by evaluating their information capacity using relative entropy. A specific quantization of (originally continuous) financial data is considered: so called binary quantization. Possible applications of the proposed technique include market event study with the $n$-grams of higher… Expand
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