Generalized entropy plane based on large deviations theory for financial time series.
Shijian ChenPengjian ShangYue WuPublished in: Appl. Math. Comput. (2020)
Keyphrases
- large deviations
- financial time series
- non stationary
- heavy tailed
- stock market
- financial data
- markov processes
- state dependent
- queue length
- generalization bounds
- asymptotically optimal
- queueing systems
- multivariate time series
- graphical models
- monte carlo
- importance sampling
- mathematical programming
- short term
- exchange rate
- long run
- stock price
- steady state