Related papers: Quantifying horizon dependence of asset prices: a …
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
We define correlational (von Neumann) entropy for an individual quantum state of a system whose time-independent hamiltonian contains random parameters and is treated as a member of a statistical ensemble. This entropy is representation…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Information theory on a time-discrete setting in the framework of time series analysis is generalized to the time-continuous case. Considerations of the Roessler and Lorenz dynamics as well as the Ornstein-Uhlenbeck process yield for…
Most methodologies for materials criticality assessment score supply risk and societal importance. Market-based criteria offer quantitative measures for assessment. Here we develop a statistical approach based on a geologic entropy function…
A surrogate data analysis is presented, which is based on the fluctuations of the ``entropy'' $S$ defined in the natural time-domain [Phys. Rev. E {\bf 68}, 031106, 2003]. This entropy is not a static one as, for example, the Shannon…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
Information theoretic measures (entropies, entropy rates, mutual information) are nowadays commonly used in statistical signal processing for real-world data analysis. The present work proposes the use of Auto Mutual Information (Mutual…
We propose the entropy estimator $H_Z$, calculated from global dynamical parameters, in an attempt to capture the degree of evolution of galaxy systems. We assume that the observed (spatial and velocity) distributions of member galaxies in…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
Ever since Claude Shannon used entropy for his "Mathematical Theory of Communication", entropy has become a buzzword in research circles with scientists applying entropy to describe any phenomena that are reminiscent of disorder. In this…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
Stochastic Dominance (SD) theory provides a rigorous framework for selecting superior assets tailored to the asset allocation needs of investors with varying risk preferences (i.e., risk-averse, risk-seeking, and risk-neutral). However,…
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…
We describe a Matlab routine that allows us to estimate the jumps in financial asset prices using the Threshold (or Truncation) method of Mancini (2009). The routine is designed for application to five-minute log-returns. The underlying…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
In this article we introduce an entropy-based, scale-dependent centrality that is evaluated as the Shannon entropy of the distribution at time t of a continuous-time random walk. It ranks nodes as a function of the time t, which acts as a…