Financial Applications of Nonextensive Entropy

被引：21

作者：

Gradojevic, Nikola

Gencay, Ramazan ^{[1
]}

机构：

[1] Simon Fraser Univ, Dept Econ, Burnaby, BC V5A 1S6, Canada

来源：

IEEE SIGNAL PROCESSING MAGAZINE | 2011年 / 28卷 / 05期

关键词：

D O I：

10.1109/MSP.2011.941843

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

080906 [电磁信息功能材料与结构]; 082806 [农业信息与电气工程];

摘要：

Many traditional signal processing techniques in finance have limited ability to explain trading processes and distributional properties of the actual market prices. This is typically manifested in model misspecification and pricing and forecasting inaccuracy. For instance, the assumption that log stock returns are normally distributed is widely used in modern mathematical finance. © 2011 IEEE.

引用

页码：116 / U19

页数：7

共 15 条

[1]

Nonparametric estimation of state-price densities implicit in financial asset prices [J].