1 citations · 1 across the 1 of their papers we have counts for
3 papers
q-fin.ST2022★ 1 cited
Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios
Sandhya Devi, Sherman Page
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as…
q-fin.ST2021
Asymmetric Tsallis distributions for modelling financial market dynamics
Sandhya Devi
Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of…
q-fin.ST2019
Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure
Sandhya Devi
Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-…