THE ENTROPIC MARKET HYPOTHESIS

DOI10.1142/S0219024999000170zbMath1153.91502MaRDI QIDQ3523532

Les Gulko

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (6)

Preposterior analysis for option pricing ⋮ INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES MARKETS: AN ENTROPY ANALYSIS OF STRATEGIC TRADING ⋮ PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS ⋮ THE ENTROPY THEORY OF BOND OPTION PRICING ⋮ Maximum entropy distributions inferred from option portfolios on an asset ⋮ A test of the beta model on Eurodollar futures options

Cites Work

• A Mathematical Theory of Communication
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• On Partitioning a Sample With Binary-Type Questions in Lieu of Collecting Observations
• Option pricing: A simplified approach

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