Related papers: Quantification of market efficiency based on infor…
I prove that competitive market outcomes require computational intractability. If P = NP, firms can efficiently solve the collusion detection problem, identifying deviations from cooperative agreements in complex, noisy markets and thereby…
We address the problems of estimating the computer efficiency and the computer capacity. We define the computer efficiency and capacity and suggest a method for their estimation, based on the analysis of processor instructions and kinds of…
We introduce the concept of efficiency of a network, measuring how efficiently it exchanges information. By using this simple measure small-world networks are seen as systems that are both globally and locally efficient. This allows to give…
The efficient market hypothesis has been considered one of the most controversial arguments in finance, with the academia divided between who claims the impossibility of beating the market and who believes that it is possible to gain over…
We show how the Shannon entropy function can be used as a basis to set up complexity measures weighting the economic efficiency of countries and the specialization of products beyond bare diversification. This entropy function guarantees…
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 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 focus on the aggregation of distributed energy resources (DERs) through a profit-maximizing intermediary that enables participation of DERs in wholesale electricity markets. Particularly, we study the market efficiency brought in by the…
Prediction markets are powerful tools to elicit and aggregate beliefs from strategic agents. However, in current prediction markets, agents may exhaust the social welfare by competing to be the first to update the market. We initiate the…
Some general considerations on the notion of entropy in physics are presented. An attempt is made to clarify the question of the differentiation between physical entropy (the Clausius-Boltzmann one) and quantities called entropies…
In this paper, we investigate how to measure the intelligence of systems under specific structures. Two indicators are adopted to characterize the intelligence of a given structure, namely the function diversity of the structure, and the…
Many organizations describe their processes as consensus-driven, but there is no consensus on the definition of consensus. Qualitative definitions of consensus prioritize social phenomena like "unity" that are not necessarily measurable.…
A general notion of information-related complexity applicable to both natural and man-made systems is proposed. The overall approach is to explicitly consider a rational agent performing a certain task with a quantifiable degree of success.…
Here we deconstruct, and then in a reasoned way reconstruct, the concept of "entropy of a system," paying particular attention to where the randomness may be coming from. We start with the core concept of entropy as a COUNT associated with…
I summarize the recent work on market (in)efficiency, highlighting key elements why financial markets will never be made efficient. My approach is not by adding more empirical evidence, but giving plausible reasons as to where inefficiency…
Entropy is a famous and well established concept in physics and engineering that can be used for explanation of basic fundamentals as well it finds applications in several areas, from quantum physics to astronomy, from network communication…
The principle of least effort is believed to be a universal rule for living systems. Its application to the derivation of the power law probability distributions of living systems has long been challenging. Recently, a measure of efficiency…
Social media sites are information marketplaces, where users produce and consume a wide variety of information and ideas. In these sites, users typically choose their information sources, which in turn determine what specific information…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…