Related papers: Efficiency and credit ratings: a permutation-infor…
Most psychophysical experiments discard half the data collected. Specifically, experiments discard reaction time data, and use binary responses (e.g. yes/no) to measure performance. Here, Shannon's information theory is used to define…
Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate bankruptcy can disrupt the world's financial…
Credit ratings are one of the primary keys that reflect the level of riskiness and reliability of corporations to meet their financial obligations. Rating agencies tend to take extended periods of time to provide new ratings and update…
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…
Accurately determining dependency structure is critical to discovering a system's causal organization. We recently showed that the transfer entropy fails in a key aspect of this---measuring information flow---due to its conflation of dyadic…
Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
This paper develops a multilayer network approach for exploring the evolution of scientific disciplines, using the case of economics before and after the 2008 global financial crisis as a large-scale empirical testing ground. The units of…
In recent years, financial sentiment analysis of public opinion has become increasingly important for market forecasting and risk assessment. However, existing methods often struggle to effectively integrate diverse opinion modalities and…
Using aggregated journal-journal citation networks, the measurement of the knowledge base in empirical systems is factor-analyzed in two cases of interdisciplinary developments during the period 1995-2005: (i) the development of…
Research in Data Envelopment Analysis has created rankings of the ecological efficiency of countries' economies. At the same time, research in economic complexity has provided new methods to depict productive structures and has analyzed how…
Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node "importance" produced…
Estimating mutual correlations between random variables or data streams is essential for intelligent behavior and decision-making. As a fundamental quantity for measuring statistical relationships, mutual information has been extensively…
Critical decisions in hiring, college admissions, and credit lending are guided by predictions made in the presence of uncertainty. While uncertainty imparts errors across all demographic groups, this paper shows that the types of errors…
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
In a previous article of ours, we explained the reasons why the MNCS and all similar per-publication citation indicators should not be used to measure research performance, whereas efficiency indicators (output to input) such as the FSS are…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast,…
In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…
Knowledge of the association information between the attributes in a data set provides insight into the underlying structure of the data and explains the relationships (independence, synergy, redundancy) between the attributes and class (if…
The efficient use of available resources is a key factor in achieving success on both personal and organizational levels. One of the crucial resources in knowledge economy is time. The ability to force others to adapt to our schedule even…