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Gençay, Ramazan; Gradojevic, Nikola (2011). Financial Applications of Nonextensive Entropy. Institute of Electrical and Electronics Engineers Signal Processing Magazine, 28(5):116-141.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Signal Processing
Physical Sciences > Electrical and Electronic Engineering Physical Sciences > Applied Mathematics |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | September 2011 |
| Deposited On: | 22 Aug 2023 10:13 |
| Last Modified: | 24 Mar 2025 04:46 |
| Publisher: | Institute of Electrical and Electronics Engineers |
| ISSN: | 1053-5888 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1109/MSP.2011.941843 |
| Other Identification Number: | merlin-id:5965 |
Gençay, Ramazan