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June 28th, 2013, 04:28 AM   #1
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How to compute entropy?

Hi all,

I am new here, just registered: I would like to code in Java the Shannon entropy for financial time series but the process to follow it is not fully clear to me: for what I have seen so far it seems that entropy is computed on log diff, then 3 different states are defined (return higher, lower or neutral). I wonder if there is someone so kind to explain the logic, i.e. the steps I have to accomplish.

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