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Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the und...