Entropic Analysis of Financial Risk and Uncertainty

金融风险和不确定性的熵分析

• 批准号: DP1093496
• 负责人: Prof Felix Chan
• 金额: $ 17.57万
• 依托单位: Curtin University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2010
• 资助国家: 澳大利亚
• 起止时间: 2010-01-01 至 2013-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP1093496
• 关键词: Entropic; Analysis; Financial; Risk; Uncertainty

The recent financial crisis has shown that the financial markets are not as stable as expected, and are at risk from a lack of knowledge about new financial products and their risks. This research provides a framework to better measure and forecast financial risks by applying a set of techniques known collectively as entropic analysis as a novel way to measure the amount of information that can be extracted from historical data. The research will facilitate the design of policies and regulations by regulatory authorities that need to evaluate new financial products, their associated risks and their impacts on the financial markets.

最近的金融危机表明，金融市场并不像预期的那样稳定，而且由于缺乏对新金融产品及其风险的了解而面临风险。这项研究提供了一个框架，通过应用一套统称为熵分析的技术来更好地衡量和预测金融风险，这是一种衡量可以从历史数据中提取的信息量的新方法。这项研究将有助于监管机构制定政策和法规，以评估新的金融产品及其相关风险及其对金融市场的影响。