Entropy Approach for Volatility of Ethereum and Bitcoin

Ayse Metin Karakaş

Abstract


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 basic crypto money (Ethereum and Bitcoin) to make a comparison. We compute in the first step Shannon entropy with different estimators, Tsallis entropy for different values of its parameter, Rényi entropy and at last the approximate entropy. We provide computational results for these entropies for daily data.


Keywords


Shannon Entropy, Tsallis entropy, Rényi entropy, Approximate entropy, Crypto Money

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DOI: https://doi.org/10.24203/ajbm.v7i1.5682

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