Information‐Theoretic Approach to Financial Market Modeling
Mathematical Finance, EarlyView.ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
The computation of case fatality rate for novel coronavirus (COVID-19) based on Bayes theorem: An observational study. [PDF]
Medicine (Baltimore), 2020 Chang CS +5 more
europepmc +1 more source
Is A Little Learning Dangerous?
Noûs, EarlyView.ABSTRACT I argue that a little learning is often dangerous even for ideal reasoners who are operating in extremely simple scenarios and know all the relevant facts about how the evidence is generated. More precisely, I show that, on many plausible ways of assigning value to a credence in a hypothesis H, ideal Bayesians should sometimes expect other ...
Bernhard Salow
wiley +1 more source
Assessing the Effectiveness of Workers' Selection Exams: The Case of the Bank of Italy
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT High‐stakes exams can be used to rank and select candidates for job openings, and the ability of those selected hinges on the design of the exam. I propose a method to model candidates' performance to assess how effective the exam is at selecting high‐ability candidates.
Santiago Pereda‐Fernández
wiley +1 more source
Using Bayes' Theorem to solve marketing problems with uncertainty
In today's dynamic market environment and an increasing amount of data, there is a problem of decision-making in the field of marketing due to a large number of uncertainties.
Viktor S. Shamanov
core +1 more source
Bayes linear kinematics in the analysis of failure rates and failure time distributions [PDF]
, 2010 Collections of related Poisson or binomial counts arise, for example, from a number of different failures in similar machines or neighbouring time periods.
Farrow, Malcolm, Wilson, Kevin
core
Circular inference in visual cortical hierarchies in schizophrenia
Psychiatry and Clinical Neurosciences, EarlyView.Aim In schizophrenia, disrupted perceptual processes contribute to positive symptoms. However, it remains unclear how top‐down priors and bottom‐up likelihoods are represented across the hierarchy of visual cortices. To identify these processes within cortical hierarchies, the circular inference model offers a framework to account for the biased ...
Shuhei Hara +7 more
wiley +1 more source
Simulations All the Way Up! An Atheist's Response to the Fine‐Tuning Argument
Analytic Philosophy, EarlyView.ABSTRACT So the Fine‐tuning Argument goes, because it is so unlikely for the physical constants of the laws of nature to have taken the values that they in fact take, we should significantly raise our credence that God exists. Simulation Arguments argue that our world might be (or, in stronger versions, that it probably is) a mere computer simulation ...
Nikk Effingham
wiley +1 more source
Bayes Theorem and Protopathic Bias: Methodological Concerns When Addressing the Impact of Fetal Heart Rate Patterns on the Cesarean Section Rate. [PDF]
AJP Rep, 2020 Balayla J +3 more
europepmc +1 more source