INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS

被引：0
|
作者：
Pfante, Oliver [1 ]
Bertschinger, Nils [1 ]
机构：
[1] Frankfurt Inst Adv Studies, Syst Risk Grp, D-60438 Frankfurt, Hesse, Germany
来源：
ADVANCES IN COMPLEX SYSTEMS | 2019年 / 22卷 / 01期
基金：
欧洲研究理事会;
关键词：
Information theory; stochastic volatility; Bayesian analysis; MAXIMUM-LIKELIHOOD-ESTIMATION; OPTIONS;
D O I：
10.1142/S021952591850025X
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Stochastic volatility models describe asset prices S-t as driven by an unobserved process capturing the random dynamics of volatility sigma(t). We quantify how much information about sigma(t) can be inferred from asset prices S-t in terms of Shannon's mutual information in a twofold way: theoretically, by means of a thorough study of Heston's model; from a machine learning perspective, by means of investigating a family of exponential Ornstein-Uhlenbeck (OU) processes fitted on S&P 500 data.
引用
收藏
页数：21
相关论文
共 50 条
  • [41] Information-Theoretic Caching
    Wang, Chien-Yi
    Lim, Sung Hoon
    Gastpar, Michael
    2015 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY (ISIT), 2015, : 1776 - 1780
  • [42] INFORMATION-THEORETIC INCOMPLETENESS
    CHAITIN, GJ
    APPLIED MATHEMATICS AND COMPUTATION, 1992, 52 (01) : 83 - 101
  • [43] Information-Theoretic Analysis of Minimax Excess Risk
    Hafez-Kolahi, Hassan
    Moniri, Behrad
    Kasaei, Shohreh
    IEEE TRANSACTIONS ON INFORMATION THEORY, 2023, 69 (07) : 4659 - 4674
  • [44] An information-theoretic analysis of Grover's algorithm
    Arikan, E
    2003 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY - PROCEEDINGS, 2003, : 401 - 401
  • [45] An Information-Theoretic Analysis of Distributed Resource Allocation
    Alpcan, Tansu
    Dey, Subhrakanti
    2013 IEEE 52ND ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2013, : 7327 - 7332
  • [46] The information-theoretic turn
    Blevins, James P.
    PSIHOLOGIJA, 2013, 46 (04) : 355 - 375
  • [47] Information-Theoretic Adverbialism
    Gert, Joshua
    AUSTRALASIAN JOURNAL OF PHILOSOPHY, 2021, 99 (04) : 696 - 715
  • [48] Information-theoretic logic
    Corcoran, J
    TRUTH IN PERSPECTIVE: RECENT ISSUES IN LOGIC, REPRESENTATION AND ONTOLOGY, 1998, : 113 - 135
  • [49] Information-theoretic analysis of turtle cortical waves
    Du, XX
    Ghosh, BK
    42ND IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-6, PROCEEDINGS, 2003, : 6423 - 6428
  • [50] Information-Theoretic Analysis of Memoryless Deterministic Systems
    Geiger, Bernhard C.
    Kubin, Gernot
    ENTROPY, 2016, 18 (11)
12345