Related papers: Information flow between stock indices
In three-dimensional turbulence, information of turbulent fluctuations at large scales is propagated to small scales. Here, we investigate the relation between the information flow and turbulent fluctuations described by a shell model. We…
Trade is one of the essential feature of human intelligence. The securities market is the ultimate expression of it. The fundamental indicators of stocks include information as well as the effects of noise and bias on the stock prices;…
Finding observing path creating its observer is important problem in physics and information science. In observing processes, each observation is act changing the observing process that generates interactive observation. Each interaction is…
We study the structure of inter-industry relationships using networks of money flows between industries in 20 national economies. We find these networks vary around a typical structure characterized by a Weibull link weight distribution,…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
The morphology of urban agglomeration is studied here in the context of information exchange between different spatio-temporal scales. Cities are multidimensional non-linear phenomena, so understanding the relationships and connectivity…
The entropy production rate of cancer cell is always higher than healthy cell under the case of no external field applied. Different entropy production between two kinds of cells determines the direction of entropy flow among cells. The…
Robots that work close to humans need to understand and use social cues to act in a socially acceptable manner. Social cues are a form of communication (i.e., information flow) between people. In this paper, a framework is introduced to…
We show that under mild assumptions, the total value of information to informed traders in the market can be measured by the covariance between price changes and order flow. This covariance captures noise trader losses, which equal informed…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
We simulate the Vicsek model utilising topological neighbour interactions and estimate information theoretic quantities as a function of noise, the variability in the extent to which each animal aligns with its neighbours, and the flock…
In this paper, we show through examples, how the existing definitions of information transfer, namely directed information and transfer entropy fail to capture true causal interaction between states in control dynamical system. We propose a…
From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain) and NIFTY (NSE, India). The daily mean…
Whether the system under study is a shoal of fish, a collection of neurons, or a set of interacting atmospheric and oceanic processes, transfer entropy measures the flow of information between time series and can detect possible causal…
Interscale energy transfers at the vicinity of the turbulent/non-turbulent interface are from small to large scales in directions close to the interface's tangent plane where motions are predominantly stretching, but from large to small…
Applications of deep learning in financial market prediction has attracted huge attention from investors and researchers. In particular, intra-day prediction at the minute scale, the dramatically fluctuating volume and stock prices within…
Inferring the directionality of interactions between cellular processes is a major challenge in systems biology. Time-lagged correlations allow to discriminate between alternative models, but they still rely on assumed underlying…
Sentence is a basic linguistic unit, however, little is known about how information content is distributed across different positions of a sentence. Based on authentic language data of English, the present study calculated the entropy and…
Understanding how information flows through the financial networks is important, especially during times of market turbulence. Unlike traditional assumptions where information travels along the shortest paths, real-world diffusion processes…
While information processing in complex systems can be described in abstract, general terms, there are cases in which the relation between these computations and the physical substrate of the underlying system is itself of interest.…