Related papers: Quantification of market efficiency based on infor…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
Entropy has emerged as a dynamic, interdisciplinary, and widely accepted quantitative measure of uncertainty across different disciplines. A unified understanding of entropy measures, supported by a detailed review of their theoretical…
During the past sixty years, a lot of effort has been made regarding the productive efficiency. Such endeavours provided an extensive bibliography on this subject, culminating in two main methods, named the Stochastic Frontier Analysis…
Productivity is the quintessential indicator of efficiency in any production system. It seems it has become a norm in bibliometrics to define research productivity as the number of publications per researcher, distinguishing it from impact.…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Contemporary global optimization algorithms are based on local measures of utility, rather than a probability measure over location and value of the optimum. They thus attempt to collect low function values, not to learn about the optimum.…
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling…
The concept of efficiency plays a prominent role in the formal solution of decision problems that involve incomparable alternatives. This paper develops necessary and sufficient conditions for the efficient points in a sum of sets of…
Quantum information theory, particularly its entropic formulations, has made remarkable strides in characterizing quantum systems and tasks. However, a critical dimension remains underexplored: computational efficiency. While classical…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
Digital marketplaces processing billions of dollars annually represent critical infrastructure in sociotechnical ecosystems, yet their performance optimization lacks principled measurement frameworks that can inform algorithmic governance…
An efficient approach to the calculation of the $\epsilon$-entropy is proposed. The method is based on the idea of looking at the information content of a string of data, by analyzing the signal only at the instants when the fluctuations…
People employ their knowledge to recognize things. This paper is concerned with how to measure people's knowledge for recognition and how it changes. The discussion is based on three assumptions. Firstly, we construct two evolution process…
Making decisions freely presupposes that there is some indeterminacy in the environment and in the decision making engine. The former is reflected on the behavioral changes due to communicating: few changes indicate rigid environments;…
We develop a method to estimate producers' productivity beliefs when output quantities and input prices are unobservable, and we use it to evaluate the market for science. Our model of researchers' labor supply shows how their willingness…
We reason about possible future development of quantum game theory and its impact on information processing and the emerging information society. Two of the authors have recently proposed a quantum description of financial market in terms…
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…
The Principle of Maximum Entropy is a rigorous technique for estimating an unknown distribution given partial information while simultaneously minimizing bias. However, an important requirement for applying the principle is that the…
How an investor invests in the market is largely influenced by the market efficiency because if a market is efficient, it is extremely difficult to make excessive returns because in an efficient market there will be no undervalued…
The origin of economic crises is a key problem for economics. We present a model of long-run competitive markets to show that the multiplicity of behaviors in an economic system, over a long time scale, emerge as statistical regularities…