"Towards a Computationally Tractable Maximum Entropy Principle for ..."

Ganna Marchenko, Patrick Gagliardini, Illia Horenko (2018)

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DOI: 10.1137/17M1142600

access: closed

type: Journal Article

metadata version: 2019-04-18

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Ganna Marchenko, Patrick Gagliardini, Illia Horenko:
Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series. SIAM J. Financial Math. 9(4): 1249-1285 (2018)

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