Related papers: Information flow between stock indices
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical…
Index coding is often studied with the assumption that a single source has all the messages requested by the receivers. We refer to this as \emph{centralized} index coding. In contrast, this paper focuses on \emph{distributed} index coding…
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
Transfer entropy provides a general tool for analyzing the magnitudes and directions---but not the \emph{kinds}---of information transfer in a system. We extend transfer entropy in two complementary ways. First, we distinguish…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
We investigate correlations in information carriers, e.g. texts and pieces of music, which are represented by strings of letters. For information carrying strings generated by one source (i.e. a novel or a piece of music) we find…
The information entropy of a nuclear density distribution is calculated for a number of nuclei. Various phenomenological models for the density distribution using different geometry are employed. Nuclear densities calculated within various…
This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U.S. institution-dominated market. Using data from…
The time dependence of the recently introduced minimum spanning tree description of correlations between stocks, called the ``asset tree'' have been studied to reflect the economic taxonomy. The nodes of the tree are identified with stocks…
Complex networks usually exhibit a rich architecture organized over multiple intertwined scales. Information pathways are expected to pervade these scales reflecting structural insights that are not manifest from analyses of the network…
In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis…
An explosive percolation transition is the abrupt emergence of a giant cluster at a threshold caused by a suppression of the growth of large clusters. In this paper, we consider the information entropy of the cluster size distribution,…
We consider the transmission of a state from the root of a tree towards its leaves, assuming that each transmission occurs through a noisy channel. The states at the leaves are observed, while at deeper nodes we can compute the likelihood…
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…