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The application of entropy in finance can be regarded as the extension of information entropy and probability theory. In this article we apply the concept of entropy for underlying financial markets to make a comparison between volatile markets. We consider in the first step Shannon entropy with different estimators, Tsallis entropy for different values of its parameter, Rényi entropy and finally the approximate entropy. We provide computational results for these entropies for weekly and monthly data in the case of four different stock indices.
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Sheraz et al. (2015) studied this question.
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