Related papers: Transfer Entropy Analysis of the Stock Market
'Causal' direction is of great importance when dealing with complex systems. Often big volumes of data in the form of time series are available and it is important to develop methods that can inform about possible causal connections between…
This work explores entropy analysis as a tool for probing information distribution within Transformer-based architectures. By quantifying token-level uncertainty and examining entropy patterns across different stages of processing, we aim…
Entropy measures in their various incarnations play an important role in the study of stochastic time series providing important insights into both the correlative and the causative structure of the stochastic relationships between the…
Transfer entropy is capable of capturing nonlinear source-destination relations between multi-variate time series. It is a measure of association between source data that are transformed into destination data via a set of linear…
An information theoretic measure is derived that quantifies the statistical coherence between systems evolving in time. The standard time delayed mutual information fails to distinguish information that is actually exchanged from shared…
The accurate estimation of human activity in cities is one of the first steps towards understanding the structure of the urban environment. Human activities are highly granular and dynamic in spatial and temporal dimensions. Estimating…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
Stock market movements are influenced by public and private information shared through news articles, company reports, and social media discussions. Analyzing these vast sources of data can give market participants an edge to make profit.…
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a…
In this paper, we show through examples, how the existing definitions of information transfer, namely directed information and transfer entropy fail to capture true causal interaction between states in control dynamical system. We propose a…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and…
The morphology of urban agglomeration is studied here in the context of information exchange between different spatio-temporal scales. Cities are multidimensional non-linear phenomena, so understanding the relationships and connectivity…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
We describe and document three mechanisms by which corporations can influence or even control stock prices. (i) Parent and holding companies wield control over other publicly traded companies. (ii) Through clever management of treasury…
Recognizing that asset markets generally exhibit shared informational characteristics, we develop a portfolio strategy based on transfer learning that leverages cross-market information to enhance the investment performance in the market of…
Integration of variable energy resources -- e.g., solar, wind, and hydro -- and end-use electrification increase modern energy systems' weather-dependence. Identifying critical infrastructure constraining the power grid's ability to meet…
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500…
Whether heterogeneous investor flows transmit private information across stocks or merely reflect coordinated responses to public signals remains an open question in market microstructure. We construct Transfer Entropy (TE) networks from…