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Applications of Entropy in Finance: A Review
AbstractAlthough the concept of entropy is originated from thermodynamics, its concepts and relevant principles, especially the principles of maximum entropy and minimum cross-entropy, have been extensively applied in finance. In this paper, we review the concepts and principles of entropy, as well as their applications in the field of finance, especially in portfolio selection and asset pricing. Furthermore, we review the effects of the applications of entropy and compare them with other traditional and new methods.
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Zhou, R.; Cai, R.; Tong, G. Applications of Entropy in Finance: A Review. Entropy 2013, 15, 4909-4931.View more citation formats
Zhou R, Cai R, Tong G. Applications of Entropy in Finance: A Review. Entropy. 2013; 15(11):4909-4931.Chicago/Turabian Style
Zhou, Rongxi; Cai, Ru; Tong, Guanqun. 2013. "Applications of Entropy in Finance: A Review." Entropy 15, no. 11: 4909-4931.