The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior … information,. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a …

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior … information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a … technique can be used to estimate a GARCH model where wkewness and kurtosis are time varying. Entropy, Semi …

This paper suggests a new method of implementing the principle of maximum entropy to retrieve the risk neutral density … previous studies, the method maximizes the entropy measure subject to values of the risk neutral moments. These moments can be … risk neutral density based on the principle of maximum entropy, the benefits of the method that the paper suggests is the …

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in … Markets ; Electronic Markets ; Algorithmic Trading ; Order Entry ; Equity Trading ; Information Theory ; Entropy Measure …

intelligent behavior, causal entropy maximization and self-organized equilibrium seeking behavior. This entropy-based causal …

In this paper we emphasize the connection between adaptive intelligent behavior, causal entropy maximization and self …-organized equilibrium seeking behavior in an open dynamic micro economic systems. This entropy based causal adaptive behavior framework …

Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …