Renyi entropy based design of heavy tailed distribution for return of financial assets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F24%3A00374887" target="_blank" >RIV/68407700:21340/24:00374887 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1016/j.physa.2024.129531" target="_blank" >https://doi.org/10.1016/j.physa.2024.129531</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2024.129531" target="_blank" >10.1016/j.physa.2024.129531</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Renyi entropy based design of heavy tailed distribution for return of financial assets

Popis výsledku v původním jazyce

It is well-known that returns of financial assets exhibit heavy tail property and there has been no distribution which can reliably capture this characteristic so far. To contribute to the solution of this problem, we derive a new heavy tail distribution using the maximum entropy principle for Renyi entropy under the absolute moment constraints. Our newly derived distribution with two shape parameters forms a family of distributions. They are smooth, scaleable, symmetric and may be heavy tailed if their shape parameter attains the appropriate value. As a result, parameters of this distribution can be estimated by maximum likelihood estimation technique. The ability of the derived distribution to model the heavy tail property of financial assets is verified on a range of financial instruments. The results we obtained show that it can be a better option for modeling the returns of financial assets compared to other well-known heavy tailed distributions

Název v anglickém jazyce

Renyi entropy based design of heavy tailed distribution for return of financial assets

Popis výsledku anglicky

It is well-known that returns of financial assets exhibit heavy tail property and there has been no distribution which can reliably capture this characteristic so far. To contribute to the solution of this problem, we derive a new heavy tail distribution using the maximum entropy principle for Renyi entropy under the absolute moment constraints. Our newly derived distribution with two shape parameters forms a family of distributions. They are smooth, scaleable, symmetric and may be heavy tailed if their shape parameter attains the appropriate value. As a result, parameters of this distribution can be estimated by maximum likelihood estimation technique. The ability of the derived distribution to model the heavy tail property of financial assets is verified on a range of financial instruments. The results we obtained show that it can be a better option for modeling the returns of financial assets compared to other well-known heavy tailed distributions

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10700 - Other natural sciences

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and Its Applications

ISSN

0378-4371

e-ISSN

1873-2119

Svazek periodika

637

Číslo periodika v rámci svazku

Březen

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

17

Strana od-do

—

Kód UT WoS článku

001172352100001

EID výsledku v databázi Scopus

2-s2.0-85183105183