{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T19:51:00Z","timestamp":1740167460884,"version":"3.37.3"},"reference-count":30,"publisher":"World Scientific Pub Co Pte Ltd","issue":"01","funder":[{"name":"Helmut Maucher Stiftungsprofessur"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Advs. Complex Syst."],"published-print":{"date-parts":[[2019,2]]},"abstract":"<jats:p> Stochastic volatility models describe asset prices [Formula: see text] as driven by an unobserved process capturing the random dynamics of volatility [Formula: see text]. We quantify how much information about [Formula: see text] can be inferred from asset prices [Formula: see text] in terms of Shannon\u2019s mutual information in a twofold way: theoretically, by means of a thorough study of Heston\u2019s model; from a machine learning perspective, by means of investigating a family of exponential Ornstein\u2013Uhlenbeck (OU) processes fitted on S&amp;P 500 data. <\/jats:p>","DOI":"10.1142\/s021952591850025x","type":"journal-article","created":{"date-parts":[[2019,1,18]],"date-time":"2019-01-18T01:46:18Z","timestamp":1547775978000},"page":"1850025","source":"Crossref","is-referenced-by-count":0,"title":["INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS"],"prefix":"10.1142","volume":"22","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-7622-3820","authenticated-orcid":false,"given":"OLIVER","family":"PFANTE","sequence":"first","affiliation":[{"name":"Frankfurt Institute for Advanced Studies, Systemic Risk Group, Frankfurt a. Main, Hesse 60438, Germany"}]},{"given":"NILS","family":"BERTSCHINGER","sequence":"additional","affiliation":[{"name":"Frankfurt Institute for Advanced Studies, Systemic Risk Group, Frankfurt a. Main, Hesse 60438, Germany"}]}],"member":"219","published-online":{"date-parts":[[2019,3,18]]},"reference":[{"key":"S021952591850025XBIB001","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.006"},{"key":"S021952591850025XBIB002","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"S021952591850025XBIB003","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhj022"},{"key":"S021952591850025XBIB004","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"S021952591850025XBIB005","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbj014"},{"key":"S021952591850025XBIB006","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevLett.87.228701"},{"key":"S021952591850025XBIB007","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511753893"},{"key":"S021952591850025XBIB008","first-page":"76","volume":"4","author":"Cheng A.","year":"1994","journal-title":"Math. J."},{"key":"S021952591850025XBIB009","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(03)00108-8"},{"key":"S021952591850025XBIB010","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"S021952591850025XBIB011","volume-title":"Elements of Information Theory","author":"Cover T. M.","year":"2006","edition":"2"},{"key":"S021952591850025XBIB012","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2017.05.018"},{"key":"S021952591850025XBIB013","doi-asserted-by":"publisher","DOI":"10.1088\/0954-898X_10_4_303"},{"key":"S021952591850025XBIB014","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"S021952591850025XBIB015","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/6\/303"},{"key":"S021952591850025XBIB017","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"S021952591850025XBIB018","doi-asserted-by":"publisher","DOI":"10.1103\/PhysRevE.69.066138"},{"key":"S021952591850025XBIB019","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/1\/6\/304"},{"key":"S021952591850025XBIB020","doi-asserted-by":"publisher","DOI":"10.2307\/2938368"},{"volume-title":"Information Theory, Inference and Learning Algorithms","year":"2003","author":"MacKay D. J. C.","key":"S021952591850025XBIB021"},{"key":"S021952591850025XBIB022","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-2763-0_14"},{"key":"S021952591850025XBIB023","doi-asserted-by":"publisher","DOI":"10.1080\/14697680600727547"},{"key":"S021952591850025XBIB024","doi-asserted-by":"publisher","DOI":"10.1007\/s100510070131"},{"key":"S021952591850025XBIB026","doi-asserted-by":"publisher","DOI":"10.1088\/1742-5468\/2008\/06\/P06010"},{"key":"S021952591850025XBIB027","doi-asserted-by":"publisher","DOI":"10.1142\/S0219525914500076"},{"key":"S021952591850025XBIB028","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_22"},{"volume-title":"Adaptive Computation and Machine Learning","year":"2006","author":"Rasmussen C.","key":"S021952591850025XBIB029"},{"key":"S021952591850025XBIB030","doi-asserted-by":"publisher","DOI":"10.1002\/9781118656471"},{"key":"S021952591850025XBIB031","doi-asserted-by":"publisher","DOI":"10.1002\/0470870230"},{"key":"S021952591850025XBIB032","doi-asserted-by":"publisher","DOI":"10.1002\/j.1538-7305.1948.tb00917.x"}],"container-title":["Advances in Complex Systems"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.worldscientific.com\/doi\/pdf\/10.1142\/S021952591850025X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,7]],"date-time":"2019-08-07T00:45:05Z","timestamp":1565138705000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S021952591850025X"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,2]]},"references-count":30,"journal-issue":{"issue":"01","published-online":{"date-parts":[[2019,3,18]]},"published-print":{"date-parts":[[2019,2]]}},"alternative-id":["10.1142\/S021952591850025X"],"URL":"https:\/\/doi.org\/10.1142\/s021952591850025x","relation":{},"ISSN":["0219-5259","1793-6802"],"issn-type":[{"type":"print","value":"0219-5259"},{"type":"electronic","value":"1793-6802"}],"subject":[],"published":{"date-parts":[[2019,2]]}}}