Related papers: Modulated Information Flows in Financial Markets
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme events follows a stretched exponential decay in the initial…
Experimentally observed networks of interacting dynamical systems are inferred from recorded multivariate time series by evaluating a statistical measure of dependence, usually the cross-correlation coefficient, or mutual information. These…
We consider dynamic versions of the mutual information of lifetime distributions, with focus on past lifetimes, residual lifetimes and mixed lifetimes evaluated at different instants. This allows to study multicomponent systems, by…
Recent experiments have indicated that many biological systems self-organise near their critical point, which hints at a common design principle. While it has been suggested that information transmission is optimized near the critical…
This Thesis explores how tools from Statistical Physics and Information Theory can help us describe and understand complex systems. In the first part, we study the interplay between internal interactions, environmental changes, and…
We define a measure of redundant information based on projections in the space of probability distributions. Redundant information between random variables is information that is shared between those variables. But in contrast to mutual…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this…
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…
The Brownian web is a random object that occurs as the scaling limit of an infinite system of coalescing random walks. Perturbing this system of random walks by, independently at each point in space-time, resampling the random walk…
The result provided in this paper helps complete a unified picture of the scaling behavior in heavy-tailed stochastic models for transmission of packet traffic on high-speed communication links. Popular models include infinite source…
We introduce a model to study the delicate relation between the spreading of information and the formation of opinions in social systems. For this purpose, we propose a two-layer multiplex network model in which consensus dynamics takes…
We investigate the singular behavior of information flow near the Hopf bifurcation point by analyzing the learning rate, a key quantity in stochastic thermodynamics. As a model system exhibiting the Hopf bifurcation, we study the…
Advanced measurement techniques and high performance computing have made large data sets available for a wide range of turbulent flows that arise in engineering applications. Drawing on this abundance of data, dynamical models can be…
Diffusion Bridge and Flow Matching have both demonstrated compelling empirical performance in transformation between arbitrary distributions. However, there remains confusion about which approach is generally preferable, and the substantial…
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a…
We propose a channel modeling using jump-diffusion processes, and study the differential properties of entropy and mutual information. By utilizing the Kramers-Moyal and Kolmogorov-Feller equations, we express the mutual information between…
In this paper, we study a class of stochastic optimal control problem with jumps under partial information. More precisely, the controlled systems are described by a fully coupled nonlinear multi- dimensional forward-backward stochastic…
Recent studies on transportation networks have shown that real-time route guidance can inadvertently induce congestion or oscillatory traffic patterns. Nevertheless, such technologies also offer a promising opportunity to manage traffic…