A maximum entropy method to assess the predictability of financial and commodity prices (original) (raw)
Related papers
Entropy-Based Financial Asset Pricing
PLoS ONE, 2014
Predictability of Market Prices
Empirical Science of Financial Fluctuations, 2002
On the predictive accuracy of crude oil futures prices
Energy Policy, 2004
Forecasting in inefficient commodity markets
Journal of Economic Studies, 2009
Log-optimal economic evaluation of probability forecasts
Journal of the Royal Statistical Society: Series A (Statistics in Society), 2012
Forecasting volatility in the petroleum futures markets: A re-examination and extension
Energy Economics, 2020
The prediction of periods of high volatility in exchange markets
The European Physical Journal B, 2001
Application of moving averages: An empirical study of selected commodity future indices
Indian Journal of Economics and Development, 2017
Entropy Measures in Finance and Risk Neutral Densities
Proceedings of 2nd International Electronic Conference on Entropy and Its Applications, 2015
Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
SIAM Journal on Optimization, 2003
A Study of Different Algorithms used to Predict the Stock Price
International Journal of Engineering and Management Research, 2021
Forecasting the Volatility of Coffee Arabica and Crude Oil Prices with a High Frequency Data
Journal of Economics and Sustainable Development, 2019
Forecasting Volatility in Financial Markets: A Review
Journal of Economic Literature, 2003
Forecasting Petroleum Product Prices In the Philippines
Indian Journal of Science and Technology, 2018
Modeling and forecasting the oil volatility index
Journal of Forecasting, 2019
On the log-normal distribution of stock market data
Physica A: Statistical Mechanics and its Applications, 2004
Technical Trading and Commodity Price Fluctuations
WIFO Studies, 2012
Improving the predictability of stock returns with Bitcoin prices
The North American Journal of Economics and Finance, 2019
Modelling and measuring price discovery in commodity markets
Journal of Econometrics, 2010
Modeling extreme risks in commodities and commodity currencies
Pacific-Basin Finance Journal, 2018
Macroeconomic information and stock prices
Journal of Economics and Business, 1987
Parameter estimation for a computable general equilibrium model: a maximum entropy approach
Economic Modelling, 2002
Essays on Financial Market Volatility
Issn 0460 0029, 2011
Bitcoin Price Prediction with Fuzzy Logic
Sakarya Üniversitesi Fen Bilimleri Enstitüsü dergisi/Sakarya Üniversitesi fen bilimleri enstitüsü dergisi, 2023
A Methodology to Forecast Commodity Prices in Vietnam
International Journal of Economics and Finance, 2015
AECN 436: Commodity Price Forecasting—A Peer Review of Teaching Project Inquiry Portfolio
2017
Notes on financial econometrics
Journal of Econometrics, 2001
Commodity markets, price limiters and speculative price dynamics
Journal of Economic Dynamics and Control, 2005
Asset Pricing Restrictions on Predictability: Frictions Matter
2007
Resources Policy, 2021
Value Matters: Predictability of Stock Index Returns
SSRN Electronic Journal, 2012
2011
Towards a Theory of Volatility Trading
Option Pricing, Interest Rates and Risk Management, 2001
Mathematical Methods for Financial Markets
2009
On forecasting daily stock volatility: The role of intraday information and market conditions
International Journal of Forecasting, 2009