Fisher information and equilibrium distributions in econophysics

被引：15

作者：

Hawkins, RJ

Frieden, BR

机构：

[1] Mulsanne Capital Management, San Francisco, CA 94111 USA

[2] Univ Arizona, Ctr Opt Sci, Tucson, AZ 85721 USA

来源：

PHYSICS LETTERS A | 2004年 / 322卷 / 1-2期

关键词：

Fisher information; econophysics; interest rate; option; volatility;

D O I：

10.1016/j.physleta.2003.12.054

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We present a novel application of constrained Fisher information: the reconstruction of probability densities implicit in financial security prices. We illustrate the potential of this method by calculating the densities implicit in bond and option prices and find the resulting densities to be in accord with commonly held priors concerning density smoothness. We also show that the Cramer-Rao bound can be used to generalize the concept of asset-price volatility. (C) 2004 Elsevier B.V. All rights reserved.

引用

下载

页码：126 / 130

页数：5

共 50 条

[11] Distributions minimizing Fisher information for location in Kolmogorov neighbourhoods
Wu, EKH
Chan, PS
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1997, 49 (03) : 541 - 554
[12] Quantum and Fisher information from the Husimi and related distributions
Slater, PB
JOURNAL OF MATHEMATICAL PHYSICS, 2006, 47 (02)
[13] On escort distributions, q-gaussians and Fisher information
Bercher, J. -F.
BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING, 2010, 1305 : 208 - 215
[14] DISTRIBUTIONS MINIMIZING FISHER INFORMATION FOR SCALE IN KOLMOGOROV NEIGHBORHOODS
WIENS, DP
WU, KHE
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1991, 19 (02): : 179 - 190
[15] Equilibrium econophysics: A unified formalism for neoclassical economics and equilibrium thermodynamics
Sousa, Tania
Domingos, Tiago
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2006, 371 (02) : 492 - 512
[16] Discrete Versions of Jensen-Fisher, Fisher and Bayes-Fisher Information Measures of Finite Mixture Distributions
Kharazmi, Omid
Balakrishnan, Narayanaswamy
ENTROPY, 2021, 23 (03)
[17] Power-law distributions and Fisher's information measure
Pennini, F
Plastino, A
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2004, 334 (1-2) : 132 - 138
[18] On the Fisher-Rao Information Metric in the Space of Normal Distributions
Pinele, Julianna
Costa, Sueli I. R.
Strapasson, Joao E.
GEOMETRIC SCIENCE OF INFORMATION, 2019, 11712 : 676 - 684
[19] FISHER INFORMATION AND STATISTICAL INFERENCE FOR PHASE-TYPE DISTRIBUTIONS
Bladt, Mogens
Esparza, Luz Judith R.
Nielsen, Bo Friis
JOURNAL OF APPLIED PROBABILITY, 2011, 48A : 277 - 293
[20] On the characterization of fisher information and stability of the least favorable lattice distributions
Vil'chevskii N.O.
Shevlyakov G.L.
Journal of Mathematical Sciences, 1998, 92 (4) : 4104 - 4111

← 1 2 3 4 5 →