Entropy corrected geometric Brownian motion

By Rishabh Gupta, Ewa A. Drzazga-Szcz¸ e´ sniak, Sabre Kais, Dominik Szcz¸ e´ sniak

Published 2024-03-16

Everscope rating

1179.1

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Entropy Corrected Geometric Brownian Motion (EC-GBM). Problem types: Time Series Forecasting, Probability Distribution Modeling.

arXiv:2403.06253 · Paper rankings

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