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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Financial Applications of Nonextensive Entropy |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | No |
| Status | Published in final form |
| Language |
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| Journal Title | IEEE signal processing magazine |
| Publisher | Institute of Electrical and Electronics Engineers |
| Geographical Reach | international |
| ISSN | 1053-5888 |
| Volume | 28 |
| Number | 5 |
| Page Range | 116 - 141 |
| Date | 2011 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1109/MSP.2011.941843 |
| Other Identification Number | merlin-id:5965 |
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