Related papers: Methods in Econophysics: Estimating the Probabilit…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…
We overview some recent results in the field of uncertainty quantification for kinetic equations and related problems with random inputs. Uncertainties may be due to various reasons, such as lack of knowledge on the microscopic interaction…
Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work…
In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on…
The correct use and interpretation of models depends on several steps, two of which being the calibration by parameter estimation and the analysis of uncertainty. In the biological literature, these steps are seldom discussed together, but…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices…
Income and wealth distribution affect stability of a society to a large extent and high inequality affects it negatively. Moreover, in the case of developed countries, recently has been proven that inequality is closely related to all…
We consider discrete time models for asset prices with a stationary volatility process. We aim at estimating the multivariate density of this process at a set of consecutive time instants. A Fourier type deconvolution kernel density…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is…
We have presented a new axiomatic derivation of Shannon Entropy for a discrete probability distribution on the basis of the postulates of additivity and concavity of the entropy function.We have then modified shannon entropy to take account…
Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…
Econophysics is a new research field, which makes an attempt to bring economics in the fold of natural sciences or specifically attempts for a "physics of economics". The term Econophysics was formally born in Kolkata in 1995. The entry on…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
We describe, at the microscopic level, the dynamics of N interacting components where the probability is very small when N is large that a given component interact more than once, directly or indirectly, up to time t, with any other…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
In this letter we propose the use of physics techniques for entropy determination on constrained parameter optimization problems. The main feature of such techniques, the construction of an unbiased walk on energy space, suggests their use…
Inspired by Katok's intermediate entropy property [Inst. Hautes \'Etudes Sci. Publ. Math. 51 (1980), 137-173], we introduce and study the notion of entropy flexibility for discrete-time and continuous-time dynamical systems. By using…