Market Timing with Option-Implied Distributions: A Forward-Looking Approach.
Alexandros KostakisNikolaos PanigirtzoglouGeorge SkiadopoulosPublished in: Manag. Sci. (2011)
Keyphrases
- option pricing
- probability distribution
- black scholes
- stock price
- decision making
- random variables
- kullback leibler divergence
- chinese stock market
- real option
- stock market
- power law
- financial markets
- real time
- heavy tailed
- joint distribution
- raw material
- asynchronous circuits
- target tracking
- foreign exchange
- statistical distributions
- market prices
- log normal
- learning algorithm