This paper suggests a new method of implementing the principle of maximum entropy to retrieve the risk neutral density of future stock, or any other asset, returns from European call and put prices. Instead of option prices, the method employs risk neutral moments as constraints. These moments can be retrieved from market option prices in a first step. Compared to other existing methods of retr...

We consider words as a network of interacting letters, and approximate the probability distribution of states taken on by this network. Despite the intuition that the rules of English spelling are highly combinatorial (and arbitrary), we find that maximum entropy models consistent with pairwise correlations among letters provide a surprisingly good approximation to the full statistics of four l...

In this paper we compare the results of the MACRO detector at Gran Sasso, that is the largest neutrino telescope operated before the year 2k, with theoretical predictions of the neutrino emission from some promising targets, such as blazars and GRB's. In particular we propose a new statistical method, justified by the maximum entropy principle, for assessing a model independent upper limit to t...

For this example, a human annotator's attachment decision, which for our purposes is the "correct" attachment, is to the noun phrase. We present in this paper methods for constructing statistical models for computing the probability of attachment decisions. These models could be then integrated into scoring the probability of an overall parse. We present our methods in the context of prepositio...

This is a companion to Robert Niven’s block 4, 2007lectures. I point to an alternative way of deriving the MaxEnt and the MinXEnt-distributions which is claimed to be more fundamental as well as technically a good deal simpler than the standard method via Lagrange multipliers (sic, still what you find in many (any ?) textbook you may pick up in this field). I hope you, the students in Robert’s ...

The method of maximum entropy (ME) is extended to address the following problem: Once one accepts that the ME distribution is to be preferred over all others, the question is to what extent are distributions with lower entropy supposed to be ruled out. Two applications are given. The first is to the theory of thermodynamic fluctuations. The formulation is exact, covariant under changes of coord...

A review of the maximum entropy spectral analysis (MESA) method for time series is presented. Then, empirical evidence based on maximum entropy spectra of real seismic data is shown to suggest that M = 2N/ ln 2N is a reasonable a priori choice of the operator length M for discrete time series of length N . Various data examples support this conclusion.

We show that the Jaynes principle is indeed a proper inference scheme when applied to compound systems and will correctly produce the entangled maximum entropy states compatible with appropriate data. This is accomplished by including the dispersion of the entanglement along with its mean value as constraints and an application of the uncertainty principle. We also construct a "thermodynamic-li...

Landauer discussed the minimum energy necessary for computation and stated that erasure of information is accompanied by heat generation to the amount of kT ln 2/bit. Modifying the above statement, we claim that erasure of information is accompanied by entropy generation k ln 2/bit. Some new concepts will be introduced in the field of thermodynamics that are implicitly included in our statement...

In this second part of our two-part paper we review and analyse attempts since 1950 to use information theoretic notions to exorcise Maxwell’s Demon. We argue through a simple dilemma that these attempted exorcisms are ineffective, whether they follow Szilard in seeking a compensating entropy cost in information acquisition or Landauer in seeking that cost in memory erasure. In so far as the De...