Fisher information and equilibrium distributions in econophysics

DOI10.1016/j.physleta.2003.12.054zbMath1118.81362OpenAlexW2084338086MaRDI QIDQ2383373

Raymond J. Hawkins, B. Roy Frieden

Publication date: 8 October 2007

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2003.12.054

zbMATH Keywords

Fisher informationoptioninterest ratevolatilityeconophysics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Application of quantum master equation for long-term prognosis of asset-prices ⋮ An equilibrium model for urban transit assignment based on game theory ⋮ The use of action functionals within the quantum-like paradigm ⋮ Asymmetric information and quantization in financial economics ⋮ Ab initio yield curve dynamics ⋮ Toward a formal theory of socioculture

Cites Work

• A Mathematical Theory of Communication
• Fisher information as a measure of time
• Interest rates and information geometry
• Applications to Optics and Wave Mechanics of the Criterion of Maximum Cramer-Rao Bound
• Entropy and information in the interest rate term structure
• Introduction to Econophysics
• Prior Probabilities
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