Equity Market Description under High and Low Volatility Regimes Using Maximum Entropy Pairwise Distribution

Equity Market Description under High and Low Volatility Regimes Using Maximum Entropy Pairwise Distribution

The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the interactions between a selected set of stock assets and equity indices under di...

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Bibliographic Details
Main Authors: Mauricio A. Valle, Jaime F. Lavín, Nicolás S. Magner
Format: Article
Language:English
Published: MDPI AG 2021-10-01
Series:Entropy
Subjects:
return volatilities
maximum entropy principle
financial crisis
pairwise interactions
frustration
Kullback-Leibler divergence
Online Access:https://www.mdpi.com/1099-4300/23/10/1307

Internet

https://www.mdpi.com/1099-4300/23/10/1307

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