Related papers: Efficiency and credit ratings: a permutation-infor…
Information theory has been taken as a prospective tool for quantifying the complexity of complex networks. In this paper, we first study the information entropy or uncertainty of a path using the information theory. Then we apply the path…
This paper presents a new foundational approach to information theory based on the concept of the information efficiency of a recursive function, which is defined as the difference between the information in the input and the output. The…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
We consider a general statistical estimation problem involving a finite-dimensional target parameter vector. Beyond an internal data set drawn from the population distribution, external information, such as additional individual data or…
We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for…
We characterize information as risk reduction between knowledge states represented by partitions of the underlying probability space. Entropy corresponds to risk reduction from no (or partial) knowledge to full knowledge about a random…
We develop a theoretical framework for understanding how cognitive load affects information processing in financial markets and test it using exogenous variation in disclosure complexity. Our model distinguishes between attention allocation…
In financial markets valuable information is rarely circulated homogeneously, because of time required for information to spread. However, advances in communication technology means that the 'lifetime' of important information is typically…
Nowadays, financial data analysis is becoming increasingly important in the business market. As companies collect more and more data from daily operations, they expect to extract useful knowledge from existing collected data to help make…
We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a symbolic representation of this time…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
Credit risk modeling relies extensively on Weight of Evidence (WoE) and Information Value (IV) for feature engineering, and Population Stability Index (PSI) for drift monitoring, yet their theoretical foundations remain disconnected. We…
Measuring model performance is a key issue for deep learning practitioners. However, we often lack the ability to explain why a specific architecture attains superior predictive accuracy for a given data set. Often, validation accuracy is…
The purpose of the research was to build an index of informational asymmetry with market and firm proxies that reflect the analysts' perception of the level of informational asymmetry of companies. The proposed method consists of the…
A primary objective of the NASA Earth-Sun Exploration Technology Office is to understand the observed Earth climate variability, thus enabling the determination and prediction of the climate's response to both natural and human-induced…
Companies do not operate in a vacuum. As companies move towards an increasingly specialized production function and their reach is becoming truly global, their aptitude in managing and shaping their inter-organizational network is a…
We conduct numerical simulations for an autonomous information engine comprising a set of coupled double quantum dots using a simple model. The steady-state entropy production rate in each component, heat and electron transfer rates are…
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol…
The distribution of efficient individuals in the economy and the efforts that they will put in if they are hired, there are two important concerns for a technologically advanced firm. wants to open a new branch. The firm does not have…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…