Related papers: Information measure for financial time series: qua…
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…
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
Analysis of a probabilistic system often requires to learn the joint probability distribution of its random variables. The computation of the exact distribution is usually an exhaustive precise analysis on all executions of the system. To…
Shannon entropy is the most common metric to measure the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world systems may be in general non stationary, with an entropy…
The concept of entropy, firstly introduced in information theory, rapidly became popular in many applied sciences via Shannon's formula to measure the degree of heterogeneity among observations. A rather recent research field aims at…
Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
Modelling financial time series as a time change of a simpler process has been proposed in various forms over the years. One of such recent approaches is called volatility homogenisation decomposition, and has been designed specifically to…
Shannon information entropy is a natural measure of probability (de)localization and thus (un)predictability in various procedures of data analysis for model systems. We pay particular attention to links between the Shannon entropy and the…
This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…
Shannon Entropy is the preeminent tool for measuring the level of uncertainty (and conversely, information content) in a random variable. In the field of communications, entropy can be used to express the information content of given…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
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…
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…
We propose a unified theoretical framework for quantifying spatio-temporal interactions in a stochastic dynamical system based on information geometry. In the proposed framework, the degree of interactions is quantified by the divergence…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
The concept of Shannon entropy of random variables was generalized to measurable functions in general, and to simple functions with finite values in particular. It is shown that the information measure of a function is related to the time…
We carry out a systematic study of uncertainty measures that are generic to dynamical processes of varied origins, provided they induce suitable continuous probability distributions. The major technical tool are the information theory…