Research Article
Research on the Distribution of Asset Prices Based on the Principle of Maximum Entropy
@INPROCEEDINGS{10.4108/eai.27-10-2023.2342002, author={Hongying Jin and Meiyun Liu and Kuo Yang and Yong Song and Jianlin Mo and Jiayong Chen}, title={Research on the Distribution of Asset Prices Based on the Principle of Maximum Entropy}, proceedings={Proceedings of the 4th International Conference on Economic Management and Big Data Applications, ICEMBDA 2023, October 27--29, 2023, Tianjin, China}, publisher={EAI}, proceedings_a={ICEMBDA}, year={2024}, month={1}, keywords={econophysics maximum entropy principle price log-normal distribution}, doi={10.4108/eai.27-10-2023.2342002} }- Hongying Jin
Meiyun Liu
Kuo Yang
Yong Song
Jianlin Mo
Jiayong Chen
Year: 2024
Research on the Distribution of Asset Prices Based on the Principle of Maximum Entropy
ICEMBDA
EAI
DOI: 10.4108/eai.27-10-2023.2342002
Abstract
The maximum entropy principle is a fundamental principle in statistical physics. The principle is used to study the distribution law of asset prices in financial markets, and it is concluded that the maximum entropy distribution of asset prices follows a lognormal distribution. The daily data of four typical stock price indices, namely the Shanghai Securities Composite Index, Shenzhen Component Index, Hang Seng Index, and Shanghai Shenzhen 300 Index, are selected as empirical data, and MATLAB is used for programming. By comparing the actual frequency distribution curve with the theoretical frequency distribution curve, the logarithmic normal distribution law of asset prices is verified. It is shown that the logarithmic normal distribution can be used to fit the actual asset price distribution, and the maximum entropy principle is also suitable for studying the distribution law of asset prices.
