Related papers: On random number generators and practical market e…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
Parametric stochastic simulators are ubiquitous in science, often featuring high-dimensional input parameters and/or an intractable likelihood. Performing Bayesian parameter inference in this context can be challenging. We present a neural…
A method for estimating theoretical predictability of time series is presented, based on information-theoretic functionals---redundancies and surrogate data technique. The redundancy, designed for a chosen model and a prediction horizon,…
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…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…
This paper proposes a theoretical framework which models the information provided by retrieval systems in terms of Information Theory. The proposed framework allows to formalize: (i) system effectiveness as an information theoretic…
This paper presents a new foundational approach to information theory based on the concept of the information efficiency of a recursive function, which is defined as the difference between the information in the input and the output. The…
Synthetic data becomes crucial for large language model training, but its effectiveness is highly inconsistent. We provide an information-theoretic account of this inconsistency: synthetic data improves a model only when the…
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This…
We present results on simulations of a stock market with heterogeneous, cumulative information setup. We find a non-monotonic behaviour of traders' returns as a function of their information level. Particularly, the average informed agents…
While machine learning is traditionally a resource intensive task, embedded systems, autonomous navigation and the vision of the Internet-of-Things fuel the interest in resource efficient approaches. These approaches require a carefully…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
The recent rise of Large Reasoning Models (LRMs) has significantly improved multi-step reasoning performance, but often at the cost of generating excessively long reasoning chains. This paper revisits the efficiency of such reasoning…
Instead of testing for unanimous agreement, I propose learning how broad of a consensus favors one distribution over another (of earnings, productivity, asset returns, test scores, etc.). Specifically, given a sample from each of two…
Conventional random number generators provide the speed but not necessarily the high quality output streams needed for large-scale stochastic simulations. Cryptographically-based generators, on the other hand, provide superior quality…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
This paper is part of an ongoing investigation of "pragmatic information", defined in Weinberger (2002) as "the amount of information actually used in making a decision". Because a study of information rates led to the Noiseless and Noisy…
When dealing with datasets containing a billion instances or with simulations that require a supercomputer to execute, computational resources become part of the equation. We can improve the efficiency of learning and inference by…
Randomized benchmarking is a powerful technique to efficiently estimate the performance and reliability of quantum gates, circuits and devices. Here we propose to perform randomized benchmarking in a coherent way, where superpositions of…