相关论文: Entropy and Uncertainty Analysis in Financial Mark…

Entropy has emerged as a dynamic, interdisciplinary, and widely accepted quantitative measure of uncertainty across different disciplines. A unified understanding of entropy measures, supported by a detailed review of their theoretical…

Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of spectral risk measures. Second, we…

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…

In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the…

Entropy is the measure of uncertainty in any data and is adopted for maximisation of mutual information in many remote sensing operations. The availability of wide entropy variations motivated us for an investigation over the suitability…

We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…

In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…

Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the…

The relationship between three probability distributions and their maximizable entropy forms is discussed without postulating entropy property. For this purpose, the entropy I is defined as a measure of uncertainty of the probability…

A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…

Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…

One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…

Entropy measures of probability distributions are widely used measures in ecology, biology, genetics, and in other fields, to quantify species diversity of a community. Unfortunately, entropy-based diversity indices, or diversity indices…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated…

We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of…

Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…

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…

The expected utility hypothesis is a popular concept in economics that is useful for making decisions when the payoff is uncertain. In this paper, we investigate the implications of a fluctuation theorem in the theory of expected utility.…

We address the problem of uncertainty quantification and propose measures of total, aleatoric, and epistemic uncertainty based on a known decomposition of (strictly) proper scoring rules, a specific type of loss function, into a divergence…