Related papers: Financial Probabilities from Fisher Information
This study develops an inverse portfolio optimization framework for recovering latent investor preferences including risk aversion, transaction cost sensitivity, and ESG orientation from observed portfolio allocations. Using controlled…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…
In this chapter, a statistical measure of complexity and the Fisher-Shannon information product are introduced and their properties are discussed. These measures are based on the interplay between the Shannon information, or a function of…
We consider closed-form approximations for European put option prices within the Heston and GARCH diffusion stochastic volatility models with time-dependent parameters. Our methodology involves writing the put option price as an expectation…
We address the fundamental limits of learning unknown parameters of any stochastic process from time-series data, and discover exact closed-form expressions for how optimal inference scales with observation length. Given a parametrized…
We present a method to generate probability distributions that correspond to metrics obeying partial differential equations generated by extremizing a functional $J[g^{\mu\nu}(\theta^i)]$, where $g^{\mu\nu}(\theta^i)$ is the Fisher metric.…
This note deals with the linear Boltzmann equation in the non-compact setting with a confining potential which is close to quadratic. We prove that in this case, starting from a smooth initial datum, the Fisher Information (hence, the…
New families of Fisher information and entropy power inequalities for sums of independent random variables are presented. These inequalities relate the information in the sum of $n$ independent random variables to the information contained…
Discrete events alter how parameter influence propagates in hybrid systems. Prevailing Fisher information formulations assume that sensitivities evolve smoothly according to continuous-time variational equations and therefore neglect the…
In the recent years, information theory of quantum-mechanical systems have aroused the interest of many Theoretical Physicist. This due to the fact that it provides a deeper insight into the internal structure of the systems. Also, It is…
Likelihood-free inference (LFI) methods, such as approximate Bayesian computation, have become commonplace for conducting inference in complex models. Many approaches are based on summary statistics or discrepancies derived from synthetic…
Pufferfish privacy (PP) is a generalization of differential privacy (DP), that offers flexibility in specifying sensitive information and integrates domain knowledge into the privacy definition. Inspired by the illuminating formulation of…
Analysis of a probabilistic system often requires to learn the joint probability distribution of its random variables. The computation of the exact distribution is usually an exhaustive precise analysis on all executions of the system. To…
Methods have been developed to identify the probability distribution of a random vector $Z$ from information consisting of its bounded range and the probability density function or moments of a quantity of interest, $Q(Z)$. The mapping from…
We consider the Landau-Coulomb equation for initial data with bounded mass, finite numbers of moments, and entropy. We show the existence of a global weak solution that has bounded Fisher information for positive times. This solution is…
The importance of the quantum Fisher information metric is testified by the number of applications that this has in very different fields, ranging from hypothesis testing to metrology, passing through thermodynamics. Still, from the rich…
This paper represents an extended version of an earlier note [10]. The concept of weighted entropy takes into account values of different outcomes, i.e., makes entropy context-dependent, through the weight function. We analyse analogs of…
The dynamics of two variants of quantum Fisher information under decoherence are investigated from a geometrical point of view. We first derive the explicit formulas of these two quantities for a single qubit in terms of the Bloch vector.…