Related papers: Information-Theoretic Approach to Financial Market…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using $q$-deformed functions and we find that the wealth after n days with the optimal…
We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution,…
We propose a highly efficient and accurate methodology for generating synthetic financial market data using a diffusion model approach. The synthetic data produced by our methodology align closely with observed market data in several key…
Information-theoretic principles for learning and acting have been proposed to solve particular classes of Markov Decision Problems. Mathematically, such approaches are governed by a variational free energy principle and allow solving MDP…
The purpose of the research was to build an index of informational asymmetry with market and firm proxies that reflect the analysts' perception of the level of informational asymmetry of companies. The proposed method consists of the…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified…
Analyzing decision problems under uncertainty commonly relies on idealizing assumptions about the describability of the world, with the most prominent examples being the closed world and the small world assumption. Most assumptions are…
We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
This tutorial studies relationships between differential privacy and various information-theoretic measures by using several selective articles. In particular, we present how these connections can provide new interpretations for the privacy…
Selecting an optimal subset of features or instances under an information theoretic criterion has become an effective preprocessing strategy for reducing data complexity while preserving essential information. This study investigates two…
A new simple model of financial market is proposed, based on the sequential and inter-temporal nature of trader-trader interaction, and on a new simple trading strategy space. In this pattern-based speculation model, the traders open and…
Studies conducted on financial market prediction lack a comprehensive feature set that can carry a broad range of contributing factors; therefore, leading to imprecise results. Furthermore, while cooperating with the most recent innovations…
This paper applies the recently axiomatized Optimum Information Principle (minimize the Kullback-Leibler information subject to all relevant information) to nonparametric density estimation, which provides a theoretical foundation as well…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Inferring and comparing complex, multivariable probability density functions is fundamental to problems in several fields, including probabilistic learning, network theory, and data analysis. Classification and prediction are the two faces…
Related to an idea of Lewin, a mathematical model for behavioral changes under the influence of a social field is developed. The social field reflects public opinion, social norms and trends. It is not only given by external factors (the…
Efficient Market Hypothesis is the popular theory about stock prediction. With its failure much research has been carried in the area of prediction of stocks. This project is about taking non quantifiable data such as financial news…