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
收藏
页码：126 / 130
页数：5
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