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A (Econophysics) Note On Volatility In Exchange Rate Time Series Entropy As A Ranking Criterion

Author

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  • DAVID MATESANZ

    (Department of Applied Economics, Universidad de Oviedo, Auda. Cristo s/n, 33006, Oviedo, Spain)

  • GUILLERMO J. ORTEGA

    (Science and Technology Department, Universidad Nacional de Quilmes and CONICET, R. S. Peña 180, B1876BXD, Bernal, Argentina)

Abstract

We propose a volatility and uncertainty country ranking based on the entropic analysis of the real exchange rate dynamics. We show that this ranking is highly correlated with the volatility in the gross domestic product after events of currency crises. By comparing entropy with variance ranking we demonstrate that entropy measures better volatility effects of crises.

Suggested Citation

  • David Matesanz & Guillermo J. Ortega, 2008. "A (Econophysics) Note On Volatility In Exchange Rate Time Series Entropy As A Ranking Criterion," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1095-1103.
    • Handle: RePEc:wsi:ijmpcx:v:19:y:2008:i:07:n:s0129183108012789
    DOI: 10.1142/S0129183108012789
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    Cited by:

    1. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).

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