Information theoretic measure of complexity and stock market analysis : using the JSE as a case study

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dc.contributor.advisorTroskie, Casper Gen_ZA
dc.contributor.advisorClark, Alanen_ZA
dc.contributor.authorOyenubi, Adeolaen_ZA
dc.date.accessioned2015-01-02T09:06:12Z
dc.date.available2015-01-02T09:06:12Z
dc.date.issued2010en_ZA
dc.descriptionIncludes bibliographical references (leaves 37-39).en_ZA
dc.description.abstractBozdogan [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.en_ZA
dc.identifier.apacitationOyenubi, A. (2010). <i>Information theoretic measure of complexity and stock market analysis : using the JSE as a case study</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/10967en_ZA
dc.identifier.chicagocitationOyenubi, Adeola. <i>"Information theoretic measure of complexity and stock market analysis : using the JSE as a case study."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010. http://hdl.handle.net/11427/10967en_ZA
dc.identifier.citationOyenubi, A. 2010. Information theoretic measure of complexity and stock market analysis : using the JSE as a case study. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Oyenubi, Adeola AB - 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. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Information theoretic measure of complexity and stock market analysis : using the JSE as a case study TI - Information theoretic measure of complexity and stock market analysis : using the JSE as a case study UR - http://hdl.handle.net/11427/10967 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10967
dc.identifier.vancouvercitationOyenubi A. Information theoretic measure of complexity and stock market analysis : using the JSE as a case study. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10967en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematic of Financeen_ZA
dc.titleInformation theoretic measure of complexity and stock market analysis : using the JSE as a case studyen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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