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Equity market description under high and low volatility regimes using maximum entropy pairwise distribution
The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the ...
The Backbone of the Financial Interaction Network Using a Maximum Entropy Distribution
(World Scientific Publishing Company, 2022-10-19)
We modeled the stocks of the financial system as a set of many interacting like spins derived from binary daily returns. From the empirical observation of these returns, we used a Boltzmann machine to infer a distribution ...