Related papers: Quantification of market efficiency based on infor…
In inverse problems, one attempts to infer spatially variable functions from indirect measurements of a system. To practitioners of inverse problems, the concept of "information" is familiar when discussing key questions such as which parts…
In mathematics information is a number that measures uncertainty (entropy) based on a probabilistic distribution, often of an obscure origin. In real life language information is a datum, a statement, more precisely, a formula. But such a…
Guaranteed maximization of financial returns from economic structures is only possible if all of its systems are focused on selecting target operations with maximum efficiency. Is it possible? Any system is created to enhance the value of…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
In this paper we study the problem of computing max-entropy distributions over a discrete set of objects subject to observed marginals. Interest in such distributions arises due to their applicability in areas such as statistical physics,…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
The Turing Test is no longer adequate for distinguishing human and machine intelligence. With advanced artificial intelligence systems already passing the original Turing Test and contributing to serious ethical and environmental concerns,…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
Economic evaluation is a dynamically advancing knowledge area of health economics. It has been conceived to provide evidence for allocating scarce resources to gain the best value for money. The problem of efficiency of investments becomes…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…
This paper represents an extended version of an earlier note [10]. The concept of weighted entropy takes into account values of different outcomes, i.e., makes entropy context-dependent, through the weight function. We analyse analogs of…
We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…
The number, importance, and popularity of rankings measuring innovation performance and the strength and resources of ecosystems that provide its spatial framework are on an increasing trend globally. In addition to influencing the specific…
The emergence of heterogeneity in high-performance computing, which harnesses under one integrated system several platforms of different architectures, also led to the development of innovative cross-platform programming models. Along with…
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…
An updated review [1] of nonextensive statistical mechanics and thermodynamics is colloquially presented. Quite naturally the possibility emerges for using the value of q-1 (entropic nonextensivity) as a simple and efficient manner to…
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low…
Today's multiagent systems have grown too complex to rely on centralized controllers, prompting increasing interest in the design of distributed algorithms. In this respect, game theory has emerged as a valuable tool to complement more…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…