Related papers: Efficiency and credit ratings: a permutation-infor…
Mutual information among three or more dimensions (mu-star = - Q) has been considered as interaction information. However, Krippendorff (2009a, 2009b) has shown that this measure cannot be interpreted as a unique property of the…
Credit risk assessment of a company is commonly conducted by utilizing financial ratios that are derived from its financial statements. However, this approach may not fully encompass other significant aspects of a company. We propose the…
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…
I use a novel approach to compare information in several classes of moral hazard problems: implementability, cost under risk neutrality and limited liability, and cost facing an agent with a general preference for money. Incentives in moral…
Modern grid monitoring equipment enables utilities to collect detailed records of power interruptions. These data are aggregated to compute publicly reported metrics describing high-level characteristics of grid performance. The current…
Avoiding overfitting is a central challenge in machine learning, yet many large neural networks readily achieve zero training loss. This puzzling contradiction necessitates new approaches to the study of overfitting. Here we quantify…
In multiple federated learning schemes, a random subset of clients sends in each round their model updates to the server for aggregation. Although this client selection strategy aims to reduce communication overhead, it remains energy and…
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of…
Using a comprehensive sample of 2,585 bankruptcies from 1990 to 2019, we benchmark the performance of various machine learning models in predicting financial distress of publicly traded U.S. firms. We find that gradient boosted trees…
Turbulence theory is usually concerned with the statistical moments of the velocity or its fluctuations. One could also analyze the implicit probability distributions. This is the purview of information theory. Here we use information…
We formalize a macro-financial stress test for rapid AI adoption. Rather than a productivity bust or existential risk, we identify a distribution-and-contract mismatch: AI-generated abundance coexists with demand deficiency because economic…
While active learning offers potential cost savings, the actual data efficiency---the reduction in amount of labeled data needed to obtain the same error rate---observed in practice is mixed. This paper poses a basic question: when is…
Rankings of scholarly journals based on citation data are often met with skepticism by the scientific community. Part of the skepticism is due to disparity between the common perception of journals' prestige and their ranking based on…
Information is a key component in determining the price of an asset in financial markets, and the main objective of this paper is to study the spread of information in this context. The network of interactions in financial markets is…
In this paper, we prove the existence of fundamental relations between information theory and estimation theory for network-coded flows. When the network is represented by a directed graph G=(V, E) and under the assumption of uncorrelated…
We study a continuous-time dynamical system of nodes diffusively coupled over a hierarchical network to examine the efficiency and performance tradeoffs that organizations, teams, and command and control units face while achieving…
Resource-constrained systems are prevalent in communications. Such a system is composed of many components but only some of them can be allocated with resources such as time slots. According to the amount of information about the system,…
Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized…
Specifying the information structure in strategic environments is difficult for empirical researchers. We develop a test of information ordering that examines whether the true information structure is at least as informative as a proposed…
This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality…