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.
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;
Journal_Title :
Signal Processing Magazine, IEEE
DOI :
10.1109/MSP.2011.941843
