Related papers: Cash Flow Entropy
We apply the maximum entropy principle to economic systems in equilibrium and find the density function for the market's wealth. This is the same as price density which is used for insurance pricing. The risk aversion parameter of the agent…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
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…
Here we deconstruct, and then in a reasoned way reconstruct, the concept of "entropy of a system," paying particular attention to where the randomness may be coming from. We start with the core concept of entropy as a COUNT associated with…
Transfer entropy provides a general tool for analyzing the magnitudes and directions---but not the \emph{kinds}---of information transfer in a system. We extend transfer entropy in two complementary ways. First, we distinguish…
It has been demonstrated that excitable media with a tree structure performed better than other network topologies, it is natural to consider neural networks defined on Cayley trees. The investigation of a symbolic space called tree-shift…
Recently, strategic games inspired by Schelling's influential model of residential segregation have been studied in the TCS and AI literature. In these games, agents of k different types occupy the nodes of a network topology aiming to…
Chater and MacKay [CM] derived an entropy function of state for exchange economies satisfying a list of axioms, and showed that a change of state of a system of such economies is possible if and only if their total entropy does not…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
Within the task of collaborative filtering two challenges for computing conditional probabilities exist. First, the amount of training data available is typically sparse with respect to the size of the domain. Thus, support for higher-order…
We show how the Shannon entropy function can be used as a basis to set up complexity measures weighting the economic efficiency of countries and the specialization of products beyond bare diversification. This entropy function guarantees…
A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the…
The diversity of the symbols of the information source is calculated following the definition that entropy is the information loss and following a new entropy-symbol similarity relation after the rejection of the Gibbs paradox statement.…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
We consider a model of Internet congestion control that represents the randomly varying number of flows present in a network where bandwidth is shared fairly between document transfers. We study critical fluid models obtained as formal…
We introduce a novel generalization of entropy and conditional entropy from which most definitions from the literature can be derived as particular cases. Within this general framework, we investigate the problem of designing…
Inspired by Katok's intermediate entropy property [Inst. Hautes \'Etudes Sci. Publ. Math. 51 (1980), 137-173], we introduce and study the notion of entropy flexibility for discrete-time and continuous-time dynamical systems. By using…
Making decisions freely presupposes that there is some indeterminacy in the environment and in the decision making engine. The former is reflected on the behavioral changes due to communicating: few changes indicate rigid environments;…
In a paper [8] the authors classify entropy into three categories, as a thermodynamics quantity, as a measure of information production, and as a means of statistical inference. An entropy measure introduced by Mathai falls into the second…
We introduce a novel entropy-related function, \textit{non-repeatability}, designed to capture dynamical behaviors in complex systems. Its normalized form, \textit{mutability}, has been previously applied in statistical physics as a…