Académique Documents
Professionnel Documents
Culture Documents
Entropy
Entropy
xls
Page 1
525905176.xls
Page 2
525905176.xls
Page 3
525905176.xls
Page 4
525905176.xls
Page 5
525905176.xls
Page 6
525905176.xls
Page 7
525905176.xls
Page 8
525905176.xls
Page 9
525905176.xls
Adj. Close*
36.1
36.03
36.82
37.04
37.74
37.37
37.02
37.33
37.05
37.12
36.68
36.15
36.44
36.39
36.73
36.79
36.32
36.84
36.58
37.1
37.05
36.19
35.98
36.42
36.5
36.55
36.42
36.19
35.96
35.26
35.02
34.85
34.69
Page 10
525905176.xls
34.73
34.42
34.75
35.01
35.26
35.19
34.67
34.97
35.26
35.53
35.25
35.1
34.77
35.64
36.2
36.87
36.94
37.21
36.92
35.99
35.68
36.53
36.09
36.15
36.81
36.63
37.17
36.94
36.94
36.98
37.45
37.1
36.16
35.84
35.91
35.79
35.22
35.34
34.42
34.03
34.31
34.75
35.34
Page 11
525905176.xls
35.5
34.95
34.89
35.51
34.87
35.19
35.66
35.77
36.63
36.76
36.42
36.62
37.05
36.57
36.67
36.58
36.36
36.45
36.86
36.98
37.55
37.44
36.94
37.25
37.58
37.18
37.12
37.13
36.47
36.33
36.93
36.97
37.07
37.24
37.1
37.74
38.59
38.01
38.15
38.38
38.54
38.57
38.18
Page 12
525905176.xls
38.08
37.95
38.33
37.73
37.98
37.68
37.34
37.09
36.36
36.46
36.56
36.44
35.85
35.9
35.83
35.56
35.45
35.55
34.9
34.84
34.77
35.23
35.29
34.55
34.42
35.23
35.03
35.62
35.24
35.69
35.89
35.37
35.33
35.17
35.17
34.22
33.87
34.2
33.87
34.67
35.03
35.76
35.8
Page 13
525905176.xls
35.05
35.18
35.62
35.93
35.83
35.51
35.75
35.17
35.38
35.31
35.35
34.2
34.19
34.16
34.56
35.24
35.03
34.6
35.45
35.17
35.32
35.23
35
34.68
34.42
34.64
34.43
34.18
33.25
33.14
32.41
33.13
32.57
32.78
33.21
34.51
33.91
34.57
34.77
34.25
34.39
33.48
33.81
Page 14
525905176.xls
33.63
33.26
34.08
34.49
33.93
34.15
33.84
33.86
33.38
33.08
32.79
32.53
32.5
32.43
32.63
32.28
32.36
31.96
31.16
30.89
30.86
30.85
30.39
30.06
30.3
30.18
30.2
31.44
31.45
31.79
31.41
31.64
31.88
31.79
31.17
31.59
31.33
30.87
31.27
31.17
32.15
32.25
32.21
Page 15
525905176.xls
31.83
31.59
32.19
32.27
31.88
30.57
30.96
30.34
29.94
29.82
30.21
29.51
29.67
29.9
30.37
30.41
30.91
30.75
30.87
29.95
30.64
30.51
30.17
29.72
30.12
30.63
30.41
29.85
29.57
29.78
29.3
29.18
29.09
28.09
28.08
27.68
27.76
27.68
28.69
28.91
28.59
28.65
28.83
Page 16
525905176.xls
28.4
27.76
28.28
28.6
28.24
28.27
27.68
27.44
27.72
27.47
26.94
27.47
27.62
27.42
26.91
26.81
26.21
26.27
26.02
25.5
25.76
25.45
26.05
26.08
26.04
26.47
26.14
25.44
25.24
26.07
26.36
26.55
26.4
26.03
27.16
26.79
26.69
26.92
26.59
25.71
25.61
24.22
23.79
Page 17
525905176.xls
24
24.53
24.48
24.54
24.49
24.64
25.15
24.76
24.21
24.76
24.73
25.16
24.97
25.07
25.24
24.48
23.93
23.81
24.14
24.01
23.8
24.2
24.07
24.18
24.48
DT 2004 -->
Page 18
date open high low close ln() avg rms P = ((avg / rms)+1)/2
2/10/2004 37.06 37.41 37.03 37.18 -0.000314 0.011615 0.486475
2/11/2004 37.24 37.67 37.07 37.58 0.0107 qqq
2/12/2004 37.52 37.70 37.24 37.25 -0.0088
2/13/2004 37.39 37.58 36.76 36.94 -0.0084 38
2/17/2004 37.28 37.62 37.22 37.44 0.0134
2/18/2004 37.51 37.67 37.32 37.55 0.0029
2/19/2004 37.87 37.90 36.82 36.98 -0.0153 38
2/20/2004 37.00 37.14 36.55 36.86 -0.0033
2/23/2004 37.00 37.03 36.11 36.45 -0.0112
37
2/24/2004 36.30 36.65 36.10 36.36 -0.0025
2/25/2004 36.43 36.67 36.33 36.58 0.0060
2/26/2004 36.47 36.84 36.31 36.67 0.0025 37
2/27/2004 36.76 36.94 36.27 36.57 -0.0027
3/1/2004 36.68 37.07 36.47 37.05 0.0130
3/2/2004 36.98 37.18 36.61 36.62 -0.0117 36
3/3/2004 36.51 36.63 36.21 36.42 -0.0055
3/4/2004 36.44 36.83 36.39 36.76 0.0093
36
3/5/2004 36.42 37.15 36.36 36.63 -0.0035
3/8/2004 36.69 36.82 35.73 35.77 -0.0238
3/9/2004 35.81 35.98 35.52 35.66 -0.0031 35
3/10/2004 35.75 36.00 35.13 35.19 -0.0133
3/11/2004 35.07 35.53 34.80 34.87 -0.0091
3/12/2004 35.18 35.59 35.15 35.51 0.0182 35
3/15/2004 35.36 35.40 34.81 34.89 -0.0176
3/16/2004 35.11 35.25 34.63 34.95 0.0017
34
3/17/2004 35.21 35.62 35.18 35.50 0.0156
2/10/2004
2/13/2004
2/24/2004
2/27/2004
3/3/2004
3/8/2004
3/11/2004
3/16/2004
3/19/2004
3/24/2004
3/29/2004
4/1/2004
4/6/2004
4/12/2004
4/15/2004
4/20/2004
4/23/2004
4/28/2004
5/3/2004
5/6/2004
5/11/2004
5/14/2004
5/19/2004
5/24/2004
2/19/2004
qqq
4/20/2004
4/23/2004
4/28/2004
5/3/2004
5/6/2004
5/11/2004
5/14/2004
5/19/2004
7/2/2004
0.999618
37.90
34.01
date open high low close ln() avg rms P = ((avg / rms)+1)/2
2/10/2004 37.06 37.41 37.03 37.18
2/11/2004 37.24 37.67 37.07 37.58 0.0107
2/12/2004 37.52 37.70 37.24 37.25 -0.0088
2/13/2004 37.39 37.58 36.76 36.94 -0.0084
2/17/2004 37.28 37.62 37.22 37.44 0.0134
2/18/2004 37.51 37.67 37.32 37.55 0.0029
2/19/2004 37.87 37.90 36.82 36.98 -0.0153
2/20/2004 37.00 37.14 36.55 36.86 -0.0033
2/23/2004 37.00 37.03 36.11 36.45 -0.0112
2/24/2004 36.30 36.65 36.10 36.36 -0.0025
2/25/2004 36.43 36.67 36.33 36.58 0.0060
2/26/2004 36.47 36.84 36.31 36.67 0.0025
2/27/2004 36.76 36.94 36.27 36.57 -0.0027
3/1/2004 36.68 37.07 36.47 37.05 0.0130
3/2/2004 36.98 37.18 36.61 36.62 -0.0117
3/3/2004 36.51 36.63 36.21 36.42 -0.0055
3/4/2004 36.44 36.83 36.39 36.76 0.0093
3/5/2004 36.42 37.15 36.36 36.63 -0.0035
3/8/2004 36.69 36.82 35.73 35.77 -0.0238
3/9/2004 35.81 35.98 35.52 35.66 -0.0031
3/10/2004 35.75 36.00 35.13 35.19 -0.0133
3/11/2004 35.07 35.53 34.80 34.87 -0.0091
3/12/2004 35.18 35.59 35.15 35.51 0.0182
3/15/2004 35.36 35.40 34.81 34.89 -0.0176
3/16/2004 35.11 35.25 34.63 34.95 0.0017
3/17/2004 35.21 35.62 35.18 35.50 0.0156
3/18/2004 35.37 35.46 34.97 35.34 -0.0045
3/19/2004 35.28 35.46 34.72 34.75 -0.0168
3/22/2004 34.53 34.55 34.03 34.31 -0.0127
3/23/2004 34.59 34.65 34.01 34.03 -0.0082 -0.0031 0.011090 0.362372
3/24/2004 34.15 34.63 34.01 34.42 0.0114 -0.0026 0.011101 0.384192
3/25/2004 34.65 35.46 34.62 35.34 0.0264 -0.0020 0.011942 0.414227
3/26/2004 35.30 35.58 35.20 35.22 -0.0034 -0.0019 0.011849 0.421177
3/29/2004 35.51 35.96 35.49 35.79 0.0161 -0.0011 0.012110 0.456474
3/30/2004 35.67 35.94 35.52 35.91 0.0033 -0.0014 0.011875 0.441438
3/31/2004 35.92 36.00 35.61 35.84 -0.0020 -0.0016 0.011868 0.434545
4/1/2004 35.81 36.25 35.78 36.16 0.0089 -0.0007 0.011648 0.467915
4/2/2004 36.89 37.16 36.52 37.10 0.0257 0.0002 0.012541 0.508625
4/5/2004 37.01 37.50 36.97 37.45 0.0094 0.0009 0.012492 0.536110
4/6/2004 37.16 37.25 36.92 36.98 -0.0126 0.0006 0.012695 0.522198
4/7/2004 36.99 37.11 36.66 36.94 -0.0011 0.0003 0.012649 0.512904
4/8/2004 37.35 37.39 36.74 36.94 0.0000 0.0002 0.012641 0.509672
4/12/2004 37.02 37.24 36.98 37.17 0.0062 0.0005 0.012682 0.521387
4/13/2004 37.34 37.36 36.46 36.63 -0.0146 -0.0004 0.012740 0.485085
4/14/2004 36.41 36.95 36.36 36.81 0.0049 0.0002 0.012592 0.506850
4/15/2004 36.75 36.86 36.02 36.15 -0.0181 -0.0002 0.012979 0.490445
4/16/2004 36.20 36.32 35.79 36.09 -0.0017 -0.0006 0.012872 0.476182
4/19/2004 36.01 36.59 35.98 36.53 0.0121 -0.0001 0.013044 0.496507
4/20/2004 36.61 36.79 35.64 35.68 -0.0235 -0.0001 0.013031 0.496778
4/21/2004 35.90 36.11 35.65 35.99 0.0087 0.0003 0.013115 0.511706
4/22/2004 36.00 37.01 35.98 36.92 0.0255 0.0016 0.013705 0.558363
4/23/2004 37.08 37.26 36.90 37.21 0.0078 0.0022 0.013678 0.579143
4/26/2004 37.18 37.29 36.65 36.94 -0.0073 0.0013 0.013335 0.549344
4/27/2004 36.95 37.19 36.69 36.87 -0.0019 0.0018 0.012946 0.571061
4/28/2004 36.71 36.72 36.02 36.20 -0.0183 0.0012 0.013368 0.543810
4/29/2004 36.09 36.34 35.30 35.64 -0.0156 0.0001 0.013368 0.504907
4/30/2004 35.66 35.80 34.72 34.77 -0.0247 -0.0005 0.014084 0.480758
5/3/2004 35.00 35.52 34.89 35.10 0.0094 0.0003 0.013853 0.512057
5/4/2004 35.21 35.75 35.03 35.25 0.0043 0.0009 0.013678 0.532934
5/5/2004 35.42 35.70 35.20 35.53 0.0079 0.0014 0.013673 0.552581
5/6/2004 35.23 35.44 34.85 35.26 -0.0076 0.0008 0.013585 0.529581
5/7/2004 35.09 35.64 34.91 34.97 -0.0083 -0.0004 0.012792 0.486287
5/10/2004 34.67 34.90 34.42 34.67 -0.0086 -0.0005 0.012873 0.479623
5/11/2004 34.97 35.38 34.92 35.19 0.0149 -0.0006 0.012826 0.478031
5/12/2004 35.12 35.29 34.27 35.26 0.0020 -0.0006 0.012817 0.476247
5/13/2004 35.06 35.45 34.92 35.01 -0.0071 -0.0008 0.012878 0.469675
5/14/2004 35.20 35.31 34.64 34.75 -0.0075 -0.0013 0.012847 0.448401
5/17/2004 34.38 34.66 34.11 34.42 -0.0095 -0.0025 0.012089 0.396625
5/18/2004 34.66 34.90 34.60 34.73 0.0090 -0.0025 0.012078 0.395949
5/19/2004 35.16 35.51 34.63 34.69 -0.0012 -0.0021 0.011858 0.410147
5/20/2004 34.78 35.02 34.56 34.85 0.0046 -0.0019 0.011886 0.418330
5/21/2004 35.01 35.17 34.74 35.02 0.0049 -0.0018 0.011919 0.425362
5/24/2004 35.30 35.46 35.00 35.26 0.0068 -0.0018 0.011930 0.426303
5/25/2004 35.15 36.08 34.95 35.96 0.0197 -0.0006 0.012168 0.474715
5/26/2004 35.86 36.19 35.81 36.19 0.0064 -0.0006 0.012191 0.476777
5/27/2004 36.29 36.50 36.06 36.42 0.0063 0.0002 0.011792 0.510517
5/28/2004 36.38 36.55 36.21 36.55 0.0036 0.0004 0.011806 0.517880
6/1/2004 36.27 36.55 36.11 36.50 -0.0014 0.0000 0.011600 0.498820
6/2/2004 36.56 36.66 36.17 36.42 -0.0022 0.0007 0.010781 0.531734
6/3/2004 36.30 36.36 35.82 35.98 -0.0122 0.0000 0.010893 0.499575
6/4/2004 36.34 36.62 36.17 36.19 0.0058 -0.0007 0.009904 0.466394
6/7/2004 36.44 37.10 36.34 37.05 0.0235 -0.0001 0.010698 0.493286
6/8/2004 36.90 37.19 36.85 37.10 0.0013 0.0001 0.010618 0.506784
6/9/2004 36.98 37.05 36.50 36.58 -0.0141 -0.0003 0.010920 0.487948
6/10/2004 36.69 36.84 36.55 36.84 0.0071 0.0006 0.010475 0.527885
6/14/2004 36.61 36.61 36.10 36.32 -0.0142 0.0006 0.010409 0.530262
6/15/2004 36.56 36.99 36.56 36.79 0.0129 0.0019 0.009670 0.597334
6/16/2004 36.77 36.90 36.65 36.73 -0.0016 0.0015 0.009519 0.579475
6/17/2004 36.65 36.66 36.25 36.39 -0.0093 0.0011 0.009638 0.555039
6/18/2004 36.30 36.84 36.26 36.44 0.0014 0.0008 0.009533 0.544216
6/21/2004 36.52 36.63 36.06 36.15 -0.0080 0.0008 0.009542 0.543538
6/22/2004 36.16 36.70 36.02 36.68 0.0146 0.0016 0.009790 0.581274
6/23/2004 36.57 37.19 36.51 37.12 0.0119 0.0023 0.009905 0.614892
6/24/2004 37.02 37.35 36.92 37.05 -0.0019 0.0017 0.009531 0.590067
6/25/2004 37.00 37.39 36.98 37.33 0.0075 0.0019 0.009623 0.598806
6/28/2004 37.49 37.52 36.90 37.02 -0.0083 0.0019 0.009656 0.596359
6/29/2004 37.10 37.59 37.08 37.37 0.0094 0.0024 0.009712 0.624735
6/30/2004 37.45 37.90 37.35 37.74 0.0099 0.0031 0.009723 0.657848
7/1/2004 37.66 37.66 36.77 37.04 -0.0187 0.0021 0.010175 0.605476
7/2/2004 37.04 37.05 36.63 36.82 -0.0060 0.0020 0.010231 0.597073
7/6/2004 36.60 36.60 35.83 36.03 -0.0217 0.0011 0.010938 0.550737
G = P ln (1 + rms) + (1 - P) ln (1 - rms) 30 dma close - 30 dma L Pt = 1 / sqrt (L + 1)
0.2929
0.4226
0.5000
0.2929
0.4226
0.5000
0.5528
0.5918
0.6220
0.6464
0.6667
0.6838
0.6985
0.7113
0.7226
0.7327
0.7418
0.2929
0.2929
0.4226
0.5000
0.5528
0.5918
0.6220
0.2929
0.4226
0.5000
0.5528
0.5918
0.6220
0.6464
0.6667
0.6838
0.6985
0.7113
0.7226
0.7327
0.7418
0.7500
0.7575
0.7643
0.7706
0.2929
0.4226
0.5000
0.5528
0.5918
0.6220
0.6464
0.6667
0.6838
0.6985
0.7113
0.7226
0.7327
0.7418
0.7500
0.7575
0.7643
0.7706
0.7764
0.7818
0.7868
0.7915
0.7959
0.8000
0.8039
0.8075
0.8110
0.2929
34
35
35
36
36
37
37
38
38
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
-0.0050
-0.0040
-0.0030
-0.0020
-0.0010
0.0000
0.0010
0.0020
0.0030
0.0040
0.0050
3/25/2004 3/25/20 04
3/25/2004 3/26/2004
3/29/2004 3/29/2004
3/29/2004 3/30/2004
3/31/2004 3/31/2004
3/31/2004 4/1/2004
4/2/2004 4/2/2004
4/2/2004 4/5/2004
4/6/2004 4/6/2004
4/6/2004 4/7/2004
4/8/2004
4/8/2004 4/8/2004
4/12/2004
4/13/2004
4/13/2004 4/13/2004
4/14/2004
4/15/2004
4/15/2004 4/15/2004
4/16/2004
4/19/2004
4/19/2004 4/19/2004
4/2 0/2004
4/21/2004
4/21/2004 4/21/2004 4/22/2004
4/23/2004
4/23/2004 4/23/2004 4/26/2004
4/27/2004
4/27/2004 4/27/2004 4/28/2004
4/2 9/2004
4/29/2004 4/29/2004 4/30/2004
5/3/20 04
5/3/2004 5/3/2004 5/4/2004
5/5/2004
5/5/2004 5/5/2004 5/6/2004
5/7/2004
5/7/2004 5/7/2004 5/1 0/2004
5/11/2004
5/11/2004 5/11/2004 5/12/2 004
5/13/2004
5/13/2004 5/13/2004 5/14/2004
5/17/2004
5/17/2004 5/17/2004 5/18/2004
5/19/2004
5/19/2004 5/19/2004 5/20/2004
5/21/2004
5/21/2004 5/21/2004 5/24/2004
5/25/2004
5/25/2004 5/25/2004 5/26/2004
5/27/2004
5/27/2004 5/27/2004 5/2 8/2004
6/1/2004
6/1/2004 6/1/2004 6/2/20 04
6/3/2004
6/3/2004 6/3/2004 6/4/2004
6/7/2004
6/7/2004 6/7/2004 6/8/2004
6/9/2004
6/9/2004 6/9/2004 6/10/2004
6/14/2 004
6/14/2004 6/14/2004 6/15/2004
6/16/2004
6/16/2004 6/16/2004 6/17/2004
6/18/2004
6/18/2004 6/18/2004 6/21/2004
6/22/2004
6/22/2004 6/23/2 004
6/22/2004
6/24/2004
6/24/2004 6/25/2004
6/24/2004
6/28/2004
6/28/2004 6/29/2004
6/28/2004
6/30/2004
6/30/2004 7/1/2004
6/30/2004
7/2/2004
7/2/2004 7/6/2004
7/2/2004
G
6/18/2004
6/18/2004 6/21/2004
6/18/2004
6/22/2004
6/22/2004 6/23/2 004
6/22/2004
6/24/2004
6/24/2004 6/25/2004
6/24/2004
6/28/2004
6/28/2004 6/29/2004
6/28/2004
6/30/2004
6/30/2004 7/1/2004
6/30/2004
7/2/2004
7/2/2004 7/6/2004
7/2/2004
qqq
Pt = 1 / sqrt (L + 1)
Pt = 1 - (1 / sqrt (L + 1))
G = P ln (1 + rms) + (1 - P) ln (1 - rms)
37.90
34.11