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

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.

Grantor dc:publisher.institution

Division of Actuarial Science

Year dc:date.issued

2010

Author dc:creator

• Oyenubi, Adeola

Advisors dc:contributor.advisor

• Troskie, Casper G
• Clark, Alan

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10967

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10967