Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series. - Ganna Marchenko; Patrick Gagliardini; Illia Horenko (SIAM J. Financial Math., 2018)

On a computationally-scalable sparse formulation of the multidimensional and non-stationary maximum entropy principle. - Illia Horenko; Ganna Marchenko; Patrick Gagliardini (CoRR, 2020)