搜索结果: 1-10 共查到“经济学 Entropy”相关记录10条 . 查询时间(0.124 秒)
Inference of Extreme Synchrony with an Entropy Measure on a Bipartite Network
Extreme Synchrony Entropy Measure Bipartite Network
2012/9/14
This article proposes a method to quantify the structure of abipartite graph with a network entropy from a statistical–physical point of view. The network entropy of a bipartite graph with random link...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
Optimal Portfolio Diversification Using Maximum Entropy Principle
Diversification Entropy measure Portfolio selection Shrinkage rule Simulation methods
2011/4/2
Markowitz’s mean-variance (MV) efficient portfolio selection is one of the most widely used approaches in solving portfolio diversification problem. However, contrary to the notion of diversification,...
A Family of Maximum Entropy Densities Matching Call Option Prices
Entropy Information Theory I-Divergence Asset Distribution Option Pricing
2011/3/23
We investigate the position of the Buchen-Kelly density in a family of entropy maximising densities which all match European call option prices for a given maturity observed in the market. Using the L...
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Entropy Information Theory I-Divergence Asset Distribution Option Pricing Volatility Smile
2010/10/29
We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A
rigorous mathematical proof of its existence and exponential form is given, which can also be applied to...
基于IAHP-Entropy集成确权的煤炭集团供应商选择
区间层次分析法 熵值法 煤炭集团 供应商选择
2013/11/18
结合我国煤炭集团实际情况,提出建立供应商选择的指标体系。首先应用区间判断层次分析法,并结合熵理论,建立了主观与客观集成确权的IAHP-Entropy综合评价模型。最后将IAHP-Entropy综合评价模型应用于平顶山煤炭集团供应商选择中,结果表明该模型既能有效地避免单一主观确权的人为随意性,又能克服单一客观确权无法反映专家经验和决策者偏好的缺点,实践验证该模型是科学有效的。
From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
econophyisics econometrics entropy maxent bayes
2010/10/29
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be appli...
Maximum entropy autoregressive conditional heteroskedasticity model
Maximum entropy density ARCH models Excess kurtosis Asymmetry Peakedness of distribution Stock returns data
2011/4/2
In many applications, it has been found that the autoregressive conditional heteroskedasticity (ARCH) model under the conditional normal or Student’s t distributions are not general enough to account ...
Convex pricing by a generalized entropy penalty
Convex pricing generalized entropy penalty
2010/12/17
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The...
Spatial data modelling and maximum entropy theory
spatial data classification distribution function error distribution and maximum entropy approach
2014/3/20
Spatial data modelling and consequential error estimation of the distribution function are key points of spatial analysis. For many practical problems, it is impossible to hypothesize distribution fun...