Related papers: Renyi's information transfer between financial tim…
Information flow between components of a system takes many forms and is key to understanding the organization and functioning of large-scale, complex systems. We demonstrate three modalities of information flow from time series X to time…
The Renyi entropies as a generalization of the entanglement entropy imply much more information. We analytically calculate the Renyi entropies (with a spherical entangling surface) by means of a class of neutral hyperbolic black holes with…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
Information plays an important role in our understanding of the physical world. We hence propose an entropic measure of information for any physical theory that admits systems, states and measurements. In the quantum and classical world,…
Information theory on a time-discrete setting in the framework of time series analysis is generalized to the time-continuous case. Considerations of the Roessler and Lorenz dynamics as well as the Ornstein-Uhlenbeck process yield for…
Recently, a rigorous yet concise formula has been derived to evaluate the information flow, and hence the causality in a quantitative sense, between time series. To assess the importance of a resulting causality, it needs to be normalized.…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We use phase space distributions specifically, the Wigner distribution (WD) and Husimi distribution (HD) to investigate certain information-theoretic measures as descriptors for a given system. We extensively investigate and analyze…
We investigate the large-time asymptotics of nonlinear diffusion equations $u_t = \Delta u^p$ in dimension $n \ge 1$, in the exponent interval $p > n/(n+2)$, when the initial datum $u_0$ is of bounded second moment. Precise rates of…
Transfer entropy is a widely used measure for quantifying directed information flows in complex systems. While the challenges of estimating transfer entropy for continuous data are well known, it has two major shortcomings for data of…
We propose R\'enyi information generating function and discuss its properties. A connection between the R\'enyi information generating function and the diversity index is proposed for discrete type random variables. The relation between the…
Information theory has become an increasingly important research field to better understand quantum mechanics. Noteworthy, it covers both foundational and applied perspectives, also offering a common technical language to study a variety of…
It is well known that entropy production is a proxy to the detection of non-equilibrium, i.e. of the absence of detailed balance; however, due to the global character of this quantity, its knowledge does not allow to identify spatial…
A new sharp inequality featuring the differential R\'enyi entropy, the R\'enyi divergence and the R\'enyi cross-entropy of a pair of probability density functions is established. The equality is reached when one of the probability density…
The R{\'e}nyi entropy is one of the important information measures that generalizes Shannon's entropy. The quantum R{\'e}nyi entropy has a fundamental role in quantum information theory, therefore, bounding this quantity is of vital…
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…
The de Bruijn identity states that Fisher information is equal to a half of the time-derivative of Shannon differential entropy along heat flow. In the same spirit, a generalized version of Fisher information, which we term the…
We determine the Renyi entropies K_q of symbol sequences generated by human chromosomes. These exhibit nontrivial behaviour as a function of the scanning parameter q. In the thermodynamic formalism, there are phase transition-like phenomena…
Entropy has emerged as a dynamic, interdisciplinary, and widely accepted quantitative measure of uncertainty across different disciplines. A unified understanding of entropy measures, supported by a detailed review of their theoretical…
We investigate the question of whether the entropy and the Renyi entropies of the vacuum state reduced to a region of the space can be represented in terms of correlators in quantum field theory. In this case, the positivity relations for…