Related papers: Information equilibrium as an economic principle
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
We explore the dynamics of information systems. We show that the driving force for information dynamics is determined by both the information landscape and information flux which determines the equilibrium time reversible and the…
This paper studies the equilibrium of an extended case of the classical Samuelson's multiplier-accelerator model for national economy. This case has incorporated some kind of memory into the system. We assume that total consumption and…
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…
(abridged) In this paper, we present the issues we consider as essential as far as the statistical mechanics of finite systems is concerned. In particular, we emphasis our present understanding of phase transitions in the framework of…
Information theory is used to perform a thermodynamic study of non equilibrium anisotropic radiation. We limit our analysis to a second-order truncation of the moments, obtaining a distribution function which leads to a natural closure of…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
This chapter provides a comprehensive and self-contained discussion of the most recent developments of information theory of networks. Maximum entropy models of networks are the least biased ensembles enforcing a set of constraints and are…
We argue that there is a fundamental problem regarding the analysis that serves as the foundation for the papers {\it Information theory explanation of the fluctuation theorem, maximum entropy production and self-organized criticality in…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a…
In the era of a growing population, systemic changes to the world, and the rising risk of crises, humanity has been facing an unprecedented challenge of resource scarcity. Confronting and addressing the issues concerning the scarce…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
We consider a platform facilitating trade between sellers and buyers with the objective of maximizing consumer surplus. Even though in many such marketplaces prices are set by revenue-maximizing sellers, platforms can influence prices…
Network equilibrium models represent a versatile tool for the analysis of interconnected objects and their relationships. They have been widely employed in both science and engineering to study the behavior of complex systems under various…
Despite the wide usage of information as a concept in science, we have yet to develop a clear & concise scientific definition. This paper is aimed at laying the foundations for a new theory concerning the mechanics of information alongside…
Data is the central commodity of the digital economy. Unlike physical goods, it is non-rival, replicable at near-zero cost, and traded under heterogeneous licensing rules. These properties defy standard supply--demand theory and call for…
Economic engineering is a new field wherein economic systems are modelled in the same manner as traditional mechanical and electrical engineering systems. In this paper, we use Newton's theory of motion as the basis for the theory of…
For sensory networks, we determine the rate with which they acquire information about the changing external conditions. Comparing this rate with the thermodynamic entropy production that quantifies the cost of maintaining the network, we…
In this paper, a mathematically rigorous solution overturns existing wisdom regarding New Keynesian Dynamic Stochastic General Equilibrium. I develop a formal concept of stochastic equilibrium. I prove uniqueness and necessity, when agents…
A Langevin equation is suggested to describe a system driven by correlated Gaussian white noise as well as with positive and negative damping demarcated by a critical velocity. The equation can be transformed into the Fokker-Planck equation…