Related papers: Information flow between stock indices
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We simulate the canonical Vicsek model and estimate the flow of information as a function of noise (the variability in the extent to which each animal aligns with its neighbours). We show that the global transfer entropy for finite flocks…
Recent experiments have indicated that many biological systems self-organise near their critical point, which hints at a common design principle. While it has been suggested that information transmission is optimized near the critical…
Recognizing that asset markets generally exhibit shared informational characteristics, we develop a portfolio strategy based on transfer learning that leverages cross-market information to enhance the investment performance in the market of…
We explore the dynamics of information systems. We show that the driving force for information dynamics is determined by both the information landscape and information flux which determines the equilibrium time reversible and the…
We investigate a factor that can affect the number of links of a specific stock in a network between stocks created by the minimal spanning tree (MST) method, by using individual stock data listed on the S&P500 and KOSPI. Among the common…
A class of models describing the flow of information within networks via routing processes is proposed and investigated, concentrating on the effects of memory traces on the global properties. The long-term flow of information is governed…
This article summarizes recent research in financial economics about why information, such as earnings announcements, moves stock prices. The article does not presume any prior exposure to finance beyond what you might read in newspapers.
Money flow models are essential tools to understand different economical phenomena, like saving propensities and wealth distributions. In spite of their importance, most of them are based on synthetic transaction networks with simple…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
Entropy is a classical measure to quantify the amount of information or complexity of a system. Various entropy-based measures such as functional and spectral entropies have been proposed in brain network analysis. However, they are less…
The network communication scenario where one or more receivers request all the information transmitted by different sources is considered. We introduce distributed polynomial-time network codes in the presence of malicious nodes. Our codes…
This work employs some techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The…
We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the methodology can be applied in general to networks in which…
We estimate the net information exchange between adjacent quantum subsystems holographically living on the boundary of $AdS$ spacetime. The information exchange is a real time phenomenon and only after long time interval it may get…
This paper identifies the impact of China-U.S. science and technology (S&T) friction on knowledge flows in different fields, using data on invention patent applications from China, the U.S., Europe, and the World Patent Office (WPO) along…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…
Transfer entropy (TE) is a popular measure of information flow found to perform consistently well in different settings. Symbolic transfer entropy (STE) is defined similarly to TE but on the ranks of the components of the reconstructed…
Living entities in a group communicate and transfer information to one another for a variety of reasons. It might be for foraging food, migration, or escaping threats and obstacles, etc. They do so by interacting with each other and also…
The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the…