Related papers: Transfer Entropy Analysis of the Stock Market
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
Given entropy's central role in multiple areas of physics and science, one important task is to develop a systematic and unifying approach to defining entropy. Games of chance become a natural candidate for characterising the uncertainty of…
Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
The article develops a general equilibrium model where power relations are central in the determination of unemployment, profitability, and income distribution. The paper contributes to the market forces versus institutions debate by…
A measure is derived to quantify directed information transfer between pairs of vertices in a weighted network, over paths of a specified maximal length. Our approach employs a general, probabilistic model of network traffic, from which the…
Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…
In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
Analyzing stocks and making higher accurate predictions on where the price is heading continues to become more and more challenging therefore, we designed a new financial algorithm that leverages social media sentiment analysis to enhance…
We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is…
The information entropy of a nuclear density distribution is calculated for a number of nuclei. Various phenomenological models for the density distribution using different geometry are employed. Nuclear densities calculated within various…
Energy efficiency is a big concern in industrial sectors. Finding the root cause of anomaly state of energy efficiency can help to improve energy efficiency of industrial systems and therefore save energy cost. In this research, we propose…
This study investigates entropy's potential for analyzing scientific research patterns across disciplines. Originating from thermodynamics, entropy now measures uncertainty and diversity in information systems. We examine Shannon Entropy,…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in…
The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market…
Purpose of our work is to obtain a basic understanding and comparison of the performance and structure of real Knowledge Networks, to identify strengths and weaknesses and to highlight guidelines for improvements. We selected 18 Knowledge…
Entanglement entropy is one of the most prominent measures in quantum physics. We show that it has an interesting ergotropic interpretation in terms of unitarily extracted work. It determines how much energy one can extract from a source of…