Related papers: Renyi's information transfer between financial tim…
When presented with a data stream of two statistically dependent variables, predicting the future of one of the variables (the target stream) can benefit from information about both its history and the history of the other variable (the…
We demonstrate that the Renyi-2 entropy provides a natural measure of information for any multimode Gaussian state of quantum harmonic systems, operationally linked to the phase-space Shannon sampling entropy of the Wigner distribution of…
The information entropy budget and the rate of information transfer between variables is studied in the context of a nonlinear reduced-order atmospheric model. The key ingredients of the dynamics are present in this model, namely the…
We introduce a variant of the R\'enyi entropy definition that aligns it with the well-known H\"older mean: in the new formulation, the r-th order R\'enyi Entropy is the logarithm of the inverse of the r-th order H\"older mean. This brings…
The R\'enyi entropies of quasiparticle excitations in the many-body gapped systems show a remarkable universal picture which can be understood partially by combination of a semiclassical argument with the quantum effect of…
We introduce an epistemic information measure between two data streams, that we term $influence$. Closely related to transfer entropy, the measure must be estimated by epistemic agents with finite memory resources via sampling accessible…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
We propose a novel entropy flow on weighted graphs, which provides a principled framework that characterizes the evolution of probability distributions over graph structures while sharing geometric intuition with discrete Ricci flow. We…
The R\'enyi entropy is a mathematical generalization of the concept of entropy and it encodes the total information of a system as a funtion of its order parameter $\alpha$. The meaning of the R\'enyi entropy in physics is not completely…
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…
We revisit the problem of asymmetric binary hypothesis testing against a composite alternative hypothesis. We introduce a general framework to treat such problems when the alternative hypothesis adheres to certain axioms. In this case we…
Although the notion of entropy lies at the core of statistical mechanics, it is not often used in statistical mechanical models to characterize phase transitions, a role more usually played by quantities such as various order parameters,…
The Boltzmann entropy $S^{(B)}$ is true in the case of equal probability of all microstates of a system. In the opposite case it should be averaged over all microstates that gives rise to the Boltzmann--Shannon entropy (BSE). Maximum…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…
This paper studies the complexity of estimating Renyi divergences of discrete distributions: $p$ observed from samples and the baseline distribution $q$ known \emph{a priori}. Extending the results of Acharya et al. (SODA'15) on estimating…
This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks, as well as the ETFs reported to…
Transfer entropy in information theory was recently demonstrated [Phys. Rev. E 102, 012404 (2020)] to enable us to elucidate the interaction domain among interacting elements solely from an ensemble of trajectories. There, only pairs of…
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents…
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…
A possible mechanism of time is formulated by developing an idea of time replaced by quantum correlations, with the aid of modern quantum information theory. We invent a microscopic model, where correlations of a closed system are steadily…