Equity Market Description under High and Low Volatility Regimes Using Maximum Entropy Pairwise Distribution.
Mauricio A. ValleJaime F. LavinNicolás S. MagnerPublished in: Entropy (2021)
Keyphrases
- maximum entropy
- stock market
- pairwise
- joint distribution
- stock price
- class conditional
- chinese stock market
- maximum entropy principle
- potential functions
- markov models
- conditional random fields
- financial markets
- random fields
- transformation based learning
- stock returns
- maximum entropy model
- garch model
- financial data
- short term
- similarity measure
- financial crisis
- minimum cross entropy
- principle of maximum entropy
- multi class
- loss function
- exchange rate
- higher order
- markov random field
- probability distribution
- bregman divergences
- semi supervised
- iterative scaling
- density function
- random variables