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Back to the future : economic rationality and maximum entropy prediction

Barde, Sylvain - 2012

An information-theoretic thought experiment is developed to clarify why the maximum entropy methodology is appropriate … enables the use of maximum entropy to make predictions concerning the equilibrium state. Finally an illustration of this … predictive power is provided through an application to the Schelling model of segregation. -- Information entropy ; knapsack …

Persistent link: https://www.econbiz.de/10009532152

A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

Manhire, Jack - 2018

Describes the behavior of financial markets as functions of the variables 'price return' and 'time' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly...

Persistent link: https://www.econbiz.de/10012934807

Crash Risk in Currency Returns

Chernov, Mikhail - 2015

% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …

Persistent link: https://www.econbiz.de/10013037072

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …

Persistent link: https://www.econbiz.de/10013375264

A family of composite discrete bivariate distributions with uniform marginals for simulating realistic and challenging optimization-problem instances

Reilly, Charles H.; Sapkota, Nabin - In: European journal of operational research : EJOR 241 (2015) 3, pp. 642-652

Persistent link: https://www.econbiz.de/10010487589

A cross entropy algorithm for the Knapsack problem with setups

Caserta, M.; Quiñonez Rico, E.; Márques Uribe, A. - In: Computers & operations research : and their … 35 (2008) 1, pp. 241-252

Persistent link: https://www.econbiz.de/10003665954

A heuristic for the doubly constrained entropy distribution/assignment problem

Chen, Huey-Kuo - In: Networks and spatial economics : a journal of … 17 (2017) 1, pp. 107-128

Persistent link: https://www.econbiz.de/10011808930

Portfolio Construction When Regimes are Ambiguous

Kritzman, Mark; Kulasekaran, Cel; Turkington, David - 2023

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

Persistent link: https://www.econbiz.de/10014348956

On the properties of the Weibull-Burr III distribution and its application to uncensored and censored survival data

Yakubu, Aliyu; Doguwa, Sani I. - In: CBN journal of applied statistics 8 (2017) 2, pp. 91-116

distribution, hazard function, moments, skewness, kurtosis and quantile function is investigated; order statistics and entropy are …

Persistent link: https://www.econbiz.de/10011843528

TOPSIS model based on entropy and similarity measure for market segment selection and evaluation

Truong Thi Thuy Duong; Nguyễn-Xuân-Thao - In: Asian journal of economics and banking : AJEB 5 (2021) 2, pp. 194-203

-making problem based on TOPSIS approach. A new entropy and new similarity measure under neutrosopic environment are proposed to … TOPSIS model based on new entropy and similarity measure is effective for evaluation and selection market segment …

Persistent link: https://www.econbiz.de/10012695173