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The Maximum-Entropy Distribution of the Future Market Price of a Stock
5 references·10 citing·42 second hop
The Maximum-Entropy Distribution of the Future Market Price of a Stock (1973)The Maximum-Entropy Distribution of the F…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…The economics of uncertainty (1968)The economics of uncertaintyOn the Distribution of Stock Price Differences (1967)On the Distribution of Stock …Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …Profit management of car rental companies (2016)Profit management of car rent…Behavioral finance in financial market theory, utility theory, portfolio theory and the necessary statistics: A review (2014)Behavioral finance in financi…A model for the formation of colloidal structures in freight transportation: The case of hinterland terminals (2012)A model for the formation of …Maximum Entropy Principle with General Deviation Measures (2009)Maximum Entropy Principle wit…Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model (2000)Simple Entropic Derivation of…Information theoretic framework for process control (1998)Information theoretic framewo…Impact of Information Systems (IS) Steering Committees on IS Planning* (1989)Impact of Information Systems…The production rate of a two-stage system with stochastic processing times (1986)The production rate of a two-…State-value weighted entropy as a measure of investment risk (1986)State-value weighted entropy …Technical Note—A Generalized Maximum Entropy Principle (1979)Technical Note—A Generalized …The Nature of the Firm (1937)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Behavioural Asset Pricing: Review and Synthesis (2017)Evaluating the Role of Three Basic Factors of Prospect Theory in Decision Making (2017)The relationship between pension funds and the stock market: Does the aging population of Europe affect it? (2017)On the use of Information Theory Concepts in the Analysis of Financial Statements (1969)Entropy, market risk, and the selection of efficient portfolios (1972)An Entropy Model of Brand Purchase Behavior (1976)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Stochastic Finance: An Introduction in Discrete Time (2002)A composition between risk and deviation measures (2018)DISTORTION RISKMETRICS ON GENERAL SPACES (2020)A relative robust approach on expected returns with bounded CVaR for portfolio selection (2021)The Behavior of Stock-Market Prices (1965)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)The variation of certain speculative prices (1997)Multifractality in Asset Returns: Theory and Evidence (2002)Cross-Section Regression with Common Shocks (2005)Applied factor analysis (1970)How information gives you competitive advantage (1985)Management Information Systems: Conceptual Foundations, Structure, and Development (1985)Empirically Testing the Relationship Between End‐User Computing Problems and Information Center Success Factors (1999)Exploring the Role of Steering Committees in Realizing Value from Project Management (2009)An Alternative Taxonomy of Project Management Structures: Linking Project Management Structures and Project Success (2010)Martingales and arbitrage in multiperiod securities markets (1979)Hedging of contingent claims under incomplete information (1990)THE GARCH OPTION PRICING MODEL (1995)Option price calibration from Rényi entropy (2007)Predicting Systemic Risk with Entropic Indicators (2016)Information Entropy and Measures of Market Risk (2017)Long-term dependence in common stock returns (1977)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Distribution of Stock Return Volatility (2000)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Facts and Fears: Understanding Perceived Risk (1980)An Analysis of the Principal-Agent Problem (1992)Portfolio Analysis in a Stable Paretian Market (1965)Rational Theory of Warrant Pricing (2015)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)
this work references cited by second hop

References

  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 1968The economics of uncertainty297 cited

Cited by

  • 2009Maximum Entropy Principle with General Deviation Measures68 cited
  • 2000Simple Entropic Derivation of a Generalized Black-Scholes Option Pricing Model56 cited
  • 1989Impact of Information Systems (IS) Steering Committees on IS Planning*53 cited
  • 1979Technical Note—A Generalized Maximum Entropy Principle46 cited
  • 2014Behavioral finance in financial market theory, utility theory, portfolio theory and the necessary statistics: A review45 cited
  • 1986State-value weighted entropy as a measure of investment risk43 cited
  • 1998Information theoretic framework for process control35 cited
  • 2016Profit management of car rental companies31 cited
  • 1986The production rate of a two-stage system with stochastic processing times19 cited
  • 2012A model for the formation of colloidal structures in freight transportation: The case of hinterland terminals

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10 cited