Related papers: Information flow between stock indices
Information theory has been taken as a prospective tool for quantifying the complexity of complex networks. In this paper, we first study the information entropy or uncertainty of a path using the information theory. Then we apply the path…
We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend…
Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often…
Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from…
Recent research has explored the increasingly important role of social media by examining the dynamics of individual and group behavior, characterizing patterns of information diffusion, and identifying influential individuals. In this…
Nature is full of random networks of complex topology describing such apparently disparate systems as biological, economical or informatical ones. Their most characteristic feature is the apparent scale-free character of interconnections…
In this paper, we analyze the fundamental trade-off between information transfer and power gain by means of an information-theoretic framework in communications circuits. This analysis is of interest as many of today's applications require…
The exchange of "information" between a system and its environment based on the reduced dynamics is investigated. The association of trace distance with information cannot be stated, because of lack of symmetry between leakage from the…
In nervous system information is conveyed by sequence of action potentials (spikes-trains). As MacKay and McCulloch proposed, spike-trains can be represented as bits sequences coming from Information Sources. Previously, we studied…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
In this paper, we explore the detection of clusters of stocks that are in synergy in the Indian Stock Market and understand their behaviour in different circumstances. We have based our study on high frequency data for the year 2014. This…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…
The new interface of the Web of Science (of Thomson Reuters) enables users to retrieve sets larger than 100,000 documents in a single search. This makes it possible to compare publication trends for China, the USA, EU-27, and a number of…
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…
We implement the Ising model on a structural connectivity matrix describing the brain at a coarse scale. Tuning the model temperature to its critical value, i.e. at the susceptibility peak, we find a maximal amount of total information…
We provide a general formula, based on stochastic thermodynamics, that describes the flow of information between an arbitrary number of coupled complex-valued Langevin equations. This permits to describe the transfer of information in…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
We investigate the average frequency of positive slope $\nu_{\alpha}^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…