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Information theoretic measure of complexity and stock market analysis : using the JSE as a case study
Includes bibliographical references (leaves 37-39).
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2015
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| _version_ | 1867614490719158272 |
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| access_status_str | Open Access |
| author | Oyenubi, Adeola |
| author2 | Troskie, Casper G |
| author_browse | Oyenubi, Adeola Troskie, Casper G |
| author_facet | Troskie, Casper G Oyenubi, Adeola |
| author_sort | Oyenubi, Adeola |
| collection | Thesis |
| description | Includes bibliographical references (leaves 37-39). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10967 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:52:52.747Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10967 Information theoretic measure of complexity and stock market analysis : using the JSE as a case study Oyenubi, Adeola Troskie, Casper G Clark, Alan Mathematic of Finance Includes bibliographical references (leaves 37-39). Bozdogan [8] [6] [7] developed a new model selection criteria called information measure of complexity (ICOMP) for model selection. In contrast to Akaike's [1] information criterion (AIC) and other AIC type criteria that are traditionally used for regression analysis, ICOMP takes into account the interdependencies of the parameter estimates. This paper is divided into two parts. In the first part we compare and contrast ICOMP with AIC and other AIC type selection criterion for model selection in regression analysis involving stock market securities. While in the second part we apply the definition of information theoretic measure of complexity to portfolio analysis. We compare the complexity of a portfolio of securities with its' measure of diversification (PDI) and examine the similarities and differences between the two quantities as it affects portfolio management. 2015-01-02T09:06:12Z 2015-01-02T09:06:12Z 2010 Master Thesis Masters MPhil http://hdl.handle.net/11427/10967 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematic of Finance Oyenubi, Adeola Information theoretic measure of complexity and stock market analysis : using the JSE as a case study |
| thesis_degree_str | Master's |
| title | Information theoretic measure of complexity and stock market analysis : using the JSE as a case study |
| title_full | Information theoretic measure of complexity and stock market analysis : using the JSE as a case study |
| title_fullStr | Information theoretic measure of complexity and stock market analysis : using the JSE as a case study |
| title_full_unstemmed | Information theoretic measure of complexity and stock market analysis : using the JSE as a case study |
| title_short | Information theoretic measure of complexity and stock market analysis : using the JSE as a case study |
| title_sort | information theoretic measure of complexity and stock market analysis using the jse as a case study |
| topic | Mathematic of Finance |
| url | http://hdl.handle.net/11427/10967 |
| work_keys_str_mv | AT oyenubiadeola informationtheoreticmeasureofcomplexityandstockmarketanalysisusingthejseasacasestudy |