Related papers: Information flow between stock indices
It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…
Information is a key component in determining the price of an asset in financial markets, and the main objective of this paper is to study the spread of information in this context. The network of interactions in financial markets is…
Life depends as much on the flow of information as on the flow of energy. Here we review the many efforts to make this intuition precise. Starting with the building blocks of information theory, we explore examples where it has been…
Biochemical networks related to similar functional pathways are often correlated due to cross-talk among the homologous proteins in the different networks. Using a stochastic framework, we address the functional significance of the…
Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and…
We study an opinion formation model by the means of a co-evolving complex network where the vertices represent the individuals, characterised by their evolving opinions, and the edges represent the interactions among them. The network…
This article presents the calculation of the entropy of a system with Zipfian distribution and shows that a communication system tends to present an exponent value close to one, but still greater than one, so that it might maximize entropy…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We…
Hidden information emerges under impulse interactions with Markov diffusion process modeling interactive random environment. Impulse yes no action cuts Markov correlations revealing Bit of hidden information connected correlated states.…
We propose a new measure to estimate the direction of information flux in multivariate time series from complex systems. This measure, based on the slope of the phase spectrum (Phase Slope Index) has invariance properties that are important…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
The investigations of financial markets from a complex network perspective have unveiled many phenomenological properties, in which the majority of these studies map the financial markets into one complex network. In this work, we…
Emerging economies, particularly the MINT countries (Mexico, Indonesia, Nigeria, and T\"urkiye), are gaining influence in global stock markets, although they remain susceptible to the economic conditions of developed countries like the G7…
To better understand the inner workings of information spreading, network researchers often use simple models to capture the spreading dynamics. But most models only highlight the effect of local interactions on the global spreading of a…
A new interpretation of entanglement entropy is proposed: entanglement entropy of a pure state with respect to a division of a Hilbert space into two subspaces 1 and 2 is an amount of information, which can be transmitted through 1 and 2…
In this paper, a statistical analysis of high frequency fluctuations of the IPC, the Mexican Stock Market Index, is presented. A sample of tick-to-tick data covering the period from January 1999 to December 2002 was analyzed, as well as…
Although the threshold network is one of the most used tools to characterize the underlying structure of a stock market, the identification of the optimal threshold to construct a reliable stock network remains challenging. In this paper,…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…