Randomness in denoised stock returns: The case of Moroccan family business companies
作者： Salim Lahmiri , None
DOI: 10.1016/J.PHYSLETA.2017.12.020
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摘要: Abstract In this paper, we scrutinize entropy in family business stocks listed on Casablanca stock exchange and market index to assess randomness their returns. For purpose, adopt a novel approach based combination of stationary wavelet transform Tsallis for empirical analysis the return series. The obtained results show strong evidence that respective functions are characterized by opposite dynamics. Indeed, information contents dynamics statistically significantly different. Obviously, regular events carried returns is more certain, whilst uncertain. Such definitively useful understand nonlinear companies those market. Without doubt, they could be helpful quantitative portfolio managers investors.
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