Related papers: Irreversibility of financial time series: a graph-…
Visibility algorithms are a family of methods to map time series into networks, with the aim of describing the structure of time series and their underlying dynamical properties in graph-theoretical terms. Here we explore some properties of…
We propose a method to measure real-valued time series irreversibility which combines two differ- ent tools: the horizontal visibility algorithm and the Kullback-Leibler divergence. This method maps a time series to a directed network…
There is a relation between the irreversibility of thermodynamic processes as expressed by the breaking of time-reversal symmetry, and the entropy production in such processes. We explain on an elementary mathematical level the relations…
Time irreversibility, defined as the lack of invariance of the statistical properties of a system or time series under the operation of time reversal, has received an increasing attention during the last decades, thanks to the information…
The dynamics of time-reversible systems are statistically indistinguishable when observed forward or backward in time. A rich literature of statistical methods to distinguish irreversible dynamics from the reversible dynamics of linear,…
The absence of time-reversal symmetry is a fundamental property of many nonlinear time series. Here, we propose a new set of statistical tests for time series irreversibility based on standard and horizontal visibility graphs. Specifically,…
In stochastic thermodynamics, the entropy production of a thermodynamic system is defined by the irreversibility measured by the logarithm of the ratio of the path probabilities in the forward and reverse processes. We derive the relation…
Irreversibility is a fundamental concept with important implications at many levels. It pinpoints the fundamental difference between the intrinsically reversible microscopic equations of motion and the unidirectional arrow of time that…
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…
Entropy creation rate is introduced for a system interacting with thermostats ({\it i.e.}, in the usual language, for a system subject to internal conservative forces interacting with ``external'' thermostats via conservative forces) and a…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
This work introduces a novel, simple, and flexible method to quantify irreversibility in generic high-dimensional time series based on the well-known mapping to a binary classification problem. Our approach utilizes gradient boosting for…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
Irreversibility is commonly quantified by entropy production. An external observer can estimate it through measuring an observable that is antisymmetric under time-reversal like a current. We introduce a general framework that, inter alia,…
Current research in statistical mechanics mostly concerns the investigation of out-of-equilibrium, irreversible processes, which are ubiquitous in nature and still far from being theoretically understood. Even the precise characterization…
The concept of time series irreversibility -- the degree by which the statistics of signals are not invariant under time reversal -- naturally appears in non-equilibrium physics in stationary systems which operate away from equilibrium and…
The entropy production is commonly interpreted as measuring the distance from equilibrium. However, this explanation lacks a rigorous description due to the absence of a natural equilibrium measure. The present analysis formalizes this…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
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…
Time irreversibility is a common signature of nonlinear processes, and a fundamental property of non-equilibrium systems driven by non-conservative forces. A time series is said to be reversible if its statistical properties are invariant…