Related papers: Efficiency and credit ratings: a permutation-infor…
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and other important…
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…
How do we formalize the challenge of credit assignment in reinforcement learning? Common intuition would draw attention to reward sparsity as a key contributor to difficult credit assignment and traditional heuristics would look to temporal…
Information theoretic measures (entropies, entropy rates, mutual information) are nowadays commonly used in statistical signal processing for real-world data analysis. The present work proposes the use of Auto Mutual Information (Mutual…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
We show that lenders face more uncertainty when assessing default risk of historically under-served groups in US credit markets and that this information disparity is a quantitatively important driver of inefficient and unequal credit…
Measuring the rate of innovation in academia and industry is fundamental to monitoring the efficiency and competitiveness of the knowledge economy. To this end, a disruption index (CD) was recently developed and applied to publication and…
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality…
A recent analysis of scientific publication and patent citation networks by Park et al. (Nature, 2023) suggests that publications and patents are becoming less disruptive over time. Here we show that the reported decrease in disruptiveness…
This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…
Before the massive spread of computer technology, information was far from complex. The development of technology shifted the paradigm: from individuals who faced scarce and costly information to individuals who face massive amounts of…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Credit risk management, the practice of mitigating losses by understanding the adequacy of a borrower's capital and loan loss reserves, has long been imperative to any financial institution's long-term sustainability and growth. MassMutual…
Information is a valuable asset for agents in socio-economic systems, a significant part of the information being entailed into the very network of connections between agents. The different interlinkages patterns that agents establish may,…
In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic…
Effective credit risk management is fundamental to financial decision-making, requiring robust models to predict default probabilities and classify financial entities. Traditional machine learning approaches face significant challenges when…
In Artificial Intelligence, interpreting the results of a Machine Learning technique often termed as a black box is a difficult task. A counterfactual explanation of a particular "black box" attempts to find the smallest change to the input…
Energy efficiency technologies (EETs) are crucial for saving energy and reducing carbon dioxide emissions. However, the diffusion of EETs in small and medium-sized enterprises is rather slow. Literature shows the interactions between…
We study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information (which is, on average, correct). A fraction of…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…