Compute the entropy of the three encoded series

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Reference no: EM131926767

Problem

Form dollar bars on E-mini S&P 500 futures:

(a) Quantize the returns series using the binary method.

(b) Quantize the returns series using the quantile encoding, using 10 letters.

(d) Compute the entropy of the three encoded series, using the plug-in method.

(e) Compute the entropy of the three encoded series, using kontoyiannis' method, with a window size of 100.

Reference no: EM131926767

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