Maximum entropy models for financial systems

Leiden Repository

Maximum entropy models for financial systems

Type: Doctoral Thesis
Title: Maximum entropy models for financial systems
Author: Almog, A.
Journal Title: Casimir PhD Series
Issue Date: 2017-01-13
Keywords: Network theory
Maximum-entropy ensembles
Complex networks
Abstract: Complex systems, from financial markets to the brain, exhibit heterogeneous structures and non-stationary dynamics. These characteristics manifest themselves in the diversity of the elements in a system, and in the changing behaviour over time. Capturing and understanding this heterogeneity via appropriate models, can have important implications not only for science, but also for societal challenges like predicting the next financial crisis or developing advanced brain imaging techniques. In this thesis, we use the maximum-entropy approach to introduce a new class of statistical models, which captures part of the observed structural and/or temporal heterogeneity in the system. The models are applied to various real-world complex systems, and are used to address different problems.
Promotor: Supervisor: E.R. Eliel, W. van Saarloos Co-Supervisor: D. Garlaschelli
Faculty: Science
University: Leiden
Uri: urn:isbn:9789085932833
Handle: http://hdl.handle.net/1887/45164
 

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