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Renyi's information transfer between financial time series
Econophysics R´ enyi entropy Information transfer Financial time series
2011/7/4
In this paper we quantify the statistical coherence between financial time series by means of
R´enyi’s entropy. With the help of Cambell’s coding theorem we show that R´enyi’s entropy sel...
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...