The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the surprisal of the market and the Kullback-Leibler divergence between the benchmark-neutral pricing measure and the real-world probability measure. The state variables, their sums, and the growth optimal portfolio of the stocks evolve as squared radial Ornstein-Uhlenbeck processes in respective activity times.

翻译：本文视金融市场为一种通信系统，运用四个信息论假设推导出仅含单一参数的理想化模型。状态变量为标量平稳扩散过程。该模型最小化市场惊奇度，并最小化基准中性定价测度与真实世界概率测度之间的Kullback-Leibler散度。状态变量、其和值以及股票增长最优投资组合在各自的活动时间内均遵循平方径向Ornstein-Uhlenbeck过程演化。