Parameters for Estimation of Entropy to Study Price Manipulation in Stock Market

19 Pages Posted: 9 Feb 2007

See all articles by Y. V. Reddy

Y. V. Reddy

Goa University - Department of Commerce

A. Sebastin

National Stock Exchange of India

Date Written: December 19, 2006

Abstract

The information theoretic concept of entropy is a useful tool in studying price manipulation in stock market. Sample entropy values computed for the price data of a scrip, for various trading days in the period during which the scrip is reported to be subject to price manipulation, prove to be potential evidence for manipulation of the scrip's price. An attempt is made in this paper to select appropriate values for the parameters used for computation of sample entropy of a short time series of stock prices.

Keywords: Stock price manipulation, sample entropy, template size, tolerance limit, mutual information, relative error

JEL Classification: C02, C65, G19

Suggested Citation

Reddy, Y. V. and Sebastin, A., Parameters for Estimation of Entropy to Study Price Manipulation in Stock Market (December 19, 2006). 10th Capital Markets Conference, Indian Institute of Capital Markets Paper. Available at SSRN: https://ssrn.com/abstract=962329 or http://dx.doi.org/10.2139/ssrn.962329

Y. V. Reddy

Goa University - Department of Commerce

Taleigao, Goa - 403 206
India
2451347 (342) (Phone)

A. Sebastin (Contact Author)

National Stock Exchange of India

Exchange Plaza
Bandra Kurla Complex
Mumbai
India

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