Please use this identifier to cite or link to this item: https://essuir.sumdu.edu.ua/handle/123456789/91330
Or use following links to share this resource in social networks: Recommend this item
Title The Synergic Entropy. An efficient frontier output derived from merged input units boosted by synergy and constrained by critical input
Authors Videira, H. De C.
ORCID
Keywords параметрична волатильність
параметрическая волатильность
parametric volatility
синергія
синергия
synergy
ефективний кордон
эффективная граница
efficient frontier
критичний вхід
критический вход
critical input
максимальна ентропія
максимальная энтропия
maximum entrop
аналіз ризиків
анализ рисков
risk analysis
Type Article
Date of Issue 2023
URI https://essuir.sumdu.edu.ua/handle/123456789/91330
Publisher Sumy State University
License Creative Commons Attribution 4.0 International License
Citation Videira, H. De C. (2023). The Synergic Entropy. An efficient frontier output derived from merged input units boosted by synergy and constrained by critical input. Financial Markets, Institutions and Risks, 7(1), 39-70. https://doi.org/10.21272/fmir.7(1).39-70.2023
Abstract The theory equates the maximum output deviations (efficient frontier) caused by combined inputs with affinity-synergy in a system, which leads to a parametric volatility whose curve can be compared to data envelopment analysis (DEA). The input is a cumulative variable (e.g.: merged assets), and the output is a flow variable (e.g.: combined incomes). Rather than being purely stochastic, volatility is estimated by a novel parameter for risk named synergy, which is constrained by critical input (scarce resources). The output acceleration derived from the mergers among inputs, boosted by synergy, is the main foundation of the approach, which particular case gives Shannon and Boltzmann-Gibbs entropies. Tests are done in the 11 USA Sectors over their quarterly financial statements, proving that synergy is significant for financial statements, whereas typical betas only present significance in stock market data. A practical application is a novel discount rate for valuation using synergy, whose results for each sector are stable and coherent with perceived risk. Systems that rely on causal relations between output and multiple inputs can be regressed under novel parameters, rather than reckoning exclusively in optimization procedures.
Appears in Collections: Financial Markets, Institutions and Risks (FMIR)

Views

Australia Australia
7122
Germany Germany
1
Japan Japan
1
Malaysia Malaysia
1
Singapore Singapore
1
Ukraine Ukraine
394
United Kingdom United Kingdom
198
United States United States
14200
Unknown Country Unknown Country
760

Downloads

Brazil Brazil
1
China China
22679
Germany Germany
1
Indonesia Indonesia
120
Japan Japan
1
Taiwan Taiwan
1
Ukraine Ukraine
395
United States United States
22680
Unknown Country Unknown Country
1

Files

File Size Format Downloads
Videira_fmir_1_2023.pdf 1.62 MB Adobe PDF 45879

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.