搜索结果: 1-8 共查到“理论经济学 Entropy”相关记录8条 . 查询时间(0.183 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...
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 ...
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...