Related papers: Entropic Dynamics of Exchange Rates and Options
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The…
Entropic Dynamics is an information-based framework that seeks to derive the laws of physics as an application of the methods of entropic inference. The dynamics is derived by maximizing an entropy subject to constraints that represent the…
Entropic Dynamics is a framework in which dynamical laws are derived as an application of entropic methods of inference. No underlying action principle is postulated. Instead, the dynamics is driven by entropy subject to the constraints…
Entropic dynamics is a framework in which the laws of dynamics are derived as an application of entropic methods of inference. Its successes include the derivation of quantum mechanics and quantum field theory from probabilistic principles.…
Entropic dynamics is a framework for defining dynamical systems that is aligned with the principles of information theory. In an entropic dynamics model for motion on a statistical manifold, we find that the rate of changes for expected…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
Entropic Dynamics is a framework in which quantum theory is derived as an application of entropic methods of inference. There is no underlying action principle. Instead, the dynamics is driven by entropy subject to the appropriate…
Entropic dynamics is a framework in which quantum theory is derived as an application of entropic methods of inference. Entropic dynamics on flat spaces has been extensively studied. The objective of this paper is to extend the entropic…
Entropic Dynamics is a framework in which dynamical laws such as those that arise in physics are derived as an application of entropic methods of inference. No underlying action principle is postulated. Instead, the dynamics is driven by…
Entropic Dynamics (ED) is a framework in which Quantum Mechanics is derived as an application of entropic methods of inference. In ED the dynamics of the probability distribution is driven by entropy subject to constraints that are codified…
Standard Quantum Mechanics, although successful in terms of calculating and predicting results, is inherently difficult to understand and can suffer from misinterpretation. Entropic Dynamics is an epistemic approach to quantum mechanics…
Here we present the entropic dynamics formalism for networks. That is, a framework for the dynamics of graphs meant to represent a network derived from the principle of maximum entropy and the rate of transition is obtained taking into…
Entropic dynamics (ED) is a general framework for constructing indeterministic dynamical models based on entropic methods. ED has been used to derive or reconstruct both non-relativistic quantum mechanics and quantum field theory in curved…
Quantum mechanics is derived as an application of the method of maximum entropy. No appeal is made to any underlying classical action principle whether deterministic or stochastic. Instead, the basic assumption is that in addition to the…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
Entropic Dynamics (ED) is a framework in which Quantum Mechanics (QM) is derived as an application of entropic methods of inference. The magnitude of the wave function is manifestly epistemic: its square is a probability distribution. The…
The general framework of Entropic Dynamics (ED) is used to construct non-relativistic models of relational quantum mechanics from well known inference principles -- probability, entropy and information geometry. Although only partially…
The general framework of entropic dynamics is used to formulate a relational quantum dynamics. The main new idea is to use tools of information geometry to develop an entropic measure of the mismatch between successive configurations of a…
Empirical Mode Decomposition(EMD) is an adaptive data analysis technique for analyzing nonlinear and nonstationary data[1]. EMD decomposes the original data into a number of Intrinsic Mode Functions(IMFs)[1] for giving better physical…
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the general market corroborated by individual security trade data.…