Entropy Analysis of Financial Time Series

Abstract

This thesis applies entropy as a model independent measure to address research questions concerning the dynamics of various financial time series. The thesis consists of three main studies as presented in chapters 3, 4 and 5. Chapters 3 and 4 apply an entropy measure to conduct a bivariate analysis of drawdowns and drawups in foreign exchange rates. Chapter 5 investigates the dynamics of investment strategies of hedge funds using entropy of realised volatility in a conditioning model.