The Entropic Linkage between Equity and Bond Market Dynamics

Abstract

An alternative derivation of the yield curve based on entropy or the loss of information as it is communicated through time is introduced. Given this focus on entropy growth in communication the Shannon entropy will be utilized. Additionally, Shannon entropy’s close relationship to the Kullback–Leibler divergence is used to provide a more precise… (More)
DOI: 10.3390/e19060292

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Cite this paper

@article{Parker2017TheEL, title={The Entropic Linkage between Equity and Bond Market Dynamics}, author={Edgar Parker}, journal={Entropy}, year={2017}, volume={19}, pages={292} }