Articles by Andreas Kull
An entropy-based class of moving averages
The author proposes a family of maximum-entropy-based moving averages with a framework of a moving average corresponding to a risk-neutral valuation scheme for financial time series applied to generalized forms of entropy.
A novel derivation and interpretation of the Kelly criterion
The authors apply an information-theoretical argument to a Bernoulli process to find least biased investment strategy consistent with expected exponential growth.