Conditional entropy distribution of Istanbul stock market value

Asma S.

APPLIED ECONOMICS LETTERS, cilt.17, sa.17, ss.1709-1713, 2010 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 17 Sayı: 17
  • Basım Tarihi: 2010
  • Doi Numarası: 10.1080/13504850903136655
  • Dergi Adı: APPLIED ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1709-1713
  • Anadolu Üniversitesi Adresli: Hayır

Özet

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.