Related papers: Tsallis entropy for cross-shareholding network con…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…
A chain rule and a subadditivity for the entropy of type $\beta$, which is one of the nonadditive entropies, were derived by Z.Dar\'oczy. In this paper, we study the further relations among Tsallis type entropies which are typical…
A key element to understand complex systems is the relationship between the spatial scale of investigation and the structure of the interrelation among its elements. When it comes to economic systems, it is now well-known that the…
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal…
This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of…
This paper addresses the problem of dynamic asset allocation under uncertainty, which can be formulated as a linear quadratic (LQ) control problem with multiplicative noise. To handle exploration exploitation trade offs and induce sparse…
A large class of technically non-chaotic systems, involving scatterings of light particles by flat surfaces with sharp boundaries, is nonetheless characterized by complex random looking motion in phase space. For these systems one may…
An axiomatic foundation regarding the entropy for complex systems is established. Missing from decades of research was the requirement that entropy must measure the uncertainty at the informational scale of the maximizing distribution,…
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions…
We investigate localization transitions and mobility edge phenomena in one-dimensional quasiperiodic lattice models using an information theoretic framework based on the Tsallis entropy of single particle eigenstates.We employ the Tsallis…
We demonstrate that dual entropy expressions of the Tsallis type apply naturally to statistical-mechanical systems that experience an exceptional contraction of their configuration space. The entropic index $\alpha>1$ describes the…
We introduce and analyze a novel family of power indices tailored for sharing networks in technological markets, where firms operate competitively within, but not across, distinct industrial sectors. In these settings, inter-firm…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…
In this paper, we consider the problem of estimating Tsallis entropy from a given data set. We propose four different estimators for Tsallis entropy measure based on higher-order sample spacings, and then discuss estimation of Tsallis…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We describe in detail two numerical simulation methods valid to study systems whose thermostatistics is described by generalized entropies, such as Tsallis. The methods are useful for applications to non-trivial interacting systems with a…
We present an embedding of the Tsallis entropy into the 3-dimensional Heisenberg group, in order to understand the meaning of generalized independence as encoded in the Tsallis entropy composition property. We infer that the Tsallis entropy…