Related papers: Efficiency and credit ratings: a permutation-infor…
With the proliferation of its applications in various industries, sentiment analysis by using publicly available web data has become an active research area in text classification during these years. It is argued by researchers that…
Identifying macroeconomic events that are responsible for dramatic changes of economy is of particular relevance to understand the overall economic dynamics. We introduce an open-source available efficient Python implementation of a…
Complex systems are found in most branches of science. It is still argued how to best quantify their complexity and to what end. One prominent measure of complexity (the statistical complexity) has an operational meaning in terms of the…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
We propose a new way of investigating phase transitions in the context of information theory. We use an information-entropic measure of spatial complexity known as configurational entropy (CE) to quantify both the storage and exchange of…
Bankruptcy prediction is an important research area that heavily relies on data science. It aims to help investors, managers, and regulators better understand the operational status of corporations and predict potential financial risks in…
I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…
Credit assessments activities are essential for financial institutions and allow the global economy to grow. Building robust, solid and accurate models that estimate the probability of a default of a company is mandatory for credit…
In this paper, the credit scoring problem is studied by incorporating networked information, where the advantages of such incorporation are investigated theoretically in two scenarios. Firstly, a Bayesian optimal filter is proposed to…
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy…
Despite the numerous ways now available to quantify which parts or subsystems of a network are most important, there remains a lack of centrality measures that are related to the complexity of information flows and are derived directly from…
In a feedforward network, Transfer Entropy (TE) can be used to measure the influence that one layer has on another by quantifying the information transfer between them during training. According to the Information Bottleneck principle, a…
Public managers lack feedback on the effectiveness of public investments, policies, and programs instituted to build and use research capacity. Numerous reports rank countries on global performance on innovation and competitiveness, but the…
While it is an important problem to identify the existence of causal associations between two components of a multivariate time series, a topic addressed in Runge et al. (2012), it is even more important to assess the strength of their…
This paper reports experimental data describing the dynamics of three key information-sharing outcomes: quantity of information shared, falsification and accuracy. The experimental design follows a formal model predicting that cooperative…
The aim of this paper is to provide qualitative models characterizing interdependencies related failures of two critical infrastructures: the electricity infrastructure and the associated information infrastructure. The interdependencies of…
The interplay of optimizers and architectures in neural networks is complicated and hard to understand why some optimizers work better on some specific architectures. In this paper, we find that the traditionally used sharpness metric does…
Concepts used in the scientific study of complex systems have become so widespread that their use and abuse has led to ambiguity and confusion in their meaning. In this paper we use information theory to provide abstract and concise…
This study investigates the relationship between bank efficiency and stock market valuation using an unbalanced panel dataset of 42 listed banks in China from 2006 to 2023. We employ a non-radial and non-oriented slack based…