DocumentCode
1306774
Title
Financial Applications of Nonextensive Entropy [Applications Corner]
Author
Gradojevic, Nikola ; Gençay, Ramazan
Author_Institution
An associate professor of finance at the Faculty of Business Administration, Lakehead University, Canada.
Volume
28
Issue
5
fYear
2011
Firstpage
116
Lastpage
141
Abstract
Many traditional signal processing techniques in finance have limited ability to explain trading processes and distributional properties of the actual market prices. This is typically manifested in model misspecification and pricing and forecasting inaccuracy. For instance, the assumption that log stock returns are normally distributed is widely used in modern mathematical finance.
Keywords
Artificial neural networks; Economic indicators; Financial management; Gaussian distribution; Risk management; Time series analysis;
fLanguage
English
Journal_Title
Signal Processing Magazine, IEEE
Publisher
ieee
ISSN
1053-5888
Type
jour
DOI
10.1109/MSP.2011.941843
Filename
5999556
Link To Document