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Conditional entropy distribution of Istanbul stock market value

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  • Senay Asma

Abstract

In this study, the conditional distributions of Istanbul stock market value are obtained by using entropy optimization. The aim is to observe how the fluctuation of the conditional distributions changes according to different correlation values between the value of the firm and its stock price fluctuation. The entropy optimization problem, which is taken into account, is bivariate, so a geometric programming approach is used to convert it to a univariate problem.

Suggested Citation

  • Senay Asma, 2010. "Conditional entropy distribution of Istanbul stock market value," Applied Economics Letters, Taylor & Francis Journals, vol. 17(17), pages 1709-1713.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:17:p:1709-1713
    DOI: 10.1080/13504850903136655
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    3. Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 143-159, March.
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