Related papers: Transfer Entropy Analysis of the Stock Market
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of…
In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources of predictors and expose the value of attention and…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
The concept of entropy in nonequilibrium macroscopic systems is investigated in the light of an extended equation of motion for the density matrix obtained in a previous study. It is found that a time-dependent information entropy can be…
Synchronized movement of (both unicellular and multicellular) systems can be observed almost everywhere. Understanding of how organisms are regulated to synchronized behavior is one of the challenging issues in the field of collective…
We study the cross-correlations in stock price changes between the S&P 500 companies by introducing a weighted random graph, where all vertices (companies) are fully connected, and each edge is weighted. The weight assigned to each edge is…
Understanding information processing in the brain requires the ability to determine the functional connectivity between the different regions of the brain. We present a method using transfer entropy to extract this flow of information…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…
We apply information theoretic entropies of coordinate and velocity distributions in quantum mechanics for the description of the strong field ionization process. The approach is based on the properties of the entropies used in the…
For a simple model we derive analytic expressions of entropy exchange and coherent information, from which relations between them and the concurrence are drawn. We find that in the quantum evolution the entropy exchange exhibits behavior…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading…
We propose a formal expansion of the transfer entropy to put in evidence irreducible sets of variables which provide information for the future state of each assigned target. Multiplets characterized by a large contribution to the expansion…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
Many recent models of trade dynamics use the simple idea of wealth exchanges among economic agents in order to obtain a stable or equilibrium distribution of wealth among the agents. In particular, a plain analogy compares the wealth in a…
In this paper, we explore a scenario where a sender provides an information policy and a receiver, upon observing a realization of this policy, decides whether to take a particular action, such as making a purchase. The sender's objective…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the methodology can be applied in general to networks in which…