Related papers: Cash Flow Entropy
An information theoretic measure is derived that quantifies the statistical coherence between systems evolving in time. The standard time delayed mutual information fails to distinguish information that is actually exchanged from shared…
We investigate the uniform reshuffling model for money exchanges: two agents picked uniformly at random redistribute their dollars between them. This stochastic dynamics is of mean-field type and eventually leads to a exponential…
We develop a statistical framework for wealth allocation in which agents hold discrete units of wealth and macrostates are defined by how wealth is distributed across agents. The structure of the economic state space is characterized…
For a closed-loop control system with a digital channel between the sensor and the controller, the notion of invariance entropy quantifies the smallest average rate of information transmission above which a given compact subset of the state…
We investigate the unbiased model for money exchanges: agents give at random time a dollar to one another (if they have one). Surprisingly, this dynamics eventually leads to a geometric distribution of wealth (shown empirically by…
We consider open multi-class queueing networks with general arrival processes, general processing time sequences and Bernoulli routing. The network is assumed to be operating under an arbitrary work-conserving scheduling policy that makes…
'Causal' direction is of great importance when dealing with complex systems. Often big volumes of data in the form of time series are available and it is important to develop methods that can inform about possible causal connections between…
The average uncertainty associated with words is an information-theoretic concept at the heart of quantitative and computational linguistics. The entropy has been established as a measure of this average uncertainty - also called average…
We study conditional mutual information (cMI) between a pair of variables $X,Y$ given a third one $Z$ and derived quantities including transfer entropy (TE) and causation entropy (CE) in the dynamically relevant context where $X=T(Y,Z)$ is…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
Existence of an entropy current with non-negative divergence puts a lot of constraints on the transport coefficients of a fluid, so does the existence of equilibrium. In all the cases we have studied so far we have seen an overlap between…
Recently Lewis Bowen introduced a notion of entropy for measure-preserving actions of a countable sofic group on a standard probability space admitting a generating partition with finite entropy. By applying an operator algebra perspective…
Written language is complex. A written text can be considered an attempt to convey a meaningful message which ends up being constrained by language rules, context dependence and highly redundant in its use of resources. Despite all these…
We consider a version of large population games whose agents compete for resources using strategies with adaptable preferences. The games can be used to model economic markets, ecosystems or distributed control. Diversity of initial…
A topological dynamical system $(X,f)$ induces two natural systems, one is on the probability measure spaces and other one is on the hyperspace. We introduce a concept for these two spaces, which is called entropy order, and prove that it…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
Entropy is the measure of uncertainty in any data and is adopted for maximisation of mutual information in many remote sensing operations. The availability of wide entropy variations motivated us for an investigation over the suitability…
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the…
Entropy rate is a real valued functional on the space of discrete random sources which lacks a closed formula even for subclasses of sources which have intuitive parameterizations. A good way to overcome this problem is to examine its…
Inequality and its consequences are the subject of intense recent debate. Using a simplified model of the economy, we address the relation between inequality and liquidity, the latter understood as the frequency of economic exchanges.…