Related papers: Transfer Entropy Analysis of the Stock Market
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index,…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
We introduce a probability current analysis of excitation energy transfer between states of an open quantum system. Expressing the energy transfer through currents of excitation probability between the states in a site representation…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
In this paper we revisit the concept of mobility entropy. Over time, the structure of spatial interactions among urban centres tends to become more complex and evolves from centralised models to more scattered origin and destination…
We theoretically investigate how information flows when two particles interact with each other. Understanding the physical mechanisms of directional information flow is crucial for advancing information thermodynamics and stochastic…
Phase transitions abound in nature and society, and, from species extinction to stock market collapse, their prediction is of widespread importance. In earlier work we showed that Global Transfer Entropy, a general measure of information…
The relationship between entropy and information is reviewed, taking into account that information is stored in macroscopic degrees of freedom, such as the order parameter in a system exhibiting spontaneous symmetry breaking. It is shown…
The concept of entropy rate for a dynamical process on a graph is introduced. We study diffusion processes where the node degrees are used as a local information by the random walkers. We describe analitically and numerically how the degree…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…
The author proposes a finance trading strategy named Entropy Oriented Trading and apply thermodynamics on the strategy. The state variables are chosen so that the strategy satisfies the second law of thermodynamics. Using the law, the…
Understanding and forecasting changing market conditions in complex economic systems like the financial market is of great importance to various stakeholders such as financial institutions and regulatory agencies. Based on the finding that…
In the recent past, there were several works on the prediction of stock price using different methods. Sentiment analysis of news and tweets and relating them to the movement of stock prices have already been explored. But, when we talk…
We consider discrete stochastic processes, modeled by classical master equations, on networks. The temporal growth of the lack of information about the system is captured by its non-equilibrium entropy, defined via the transition…
Transfer entropy measures directed information flow in time series, and it has become a fundamental quantity in applications spanning neuroscience, finance, and complex systems analysis. However, existing estimation methods suffer from the…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
The thermodynamic definition of entropy can be extended to nonequilibrium systems based on its relation to information. To apply this definition in practice requires access to the physical system's microstates, which may be prohibitively…
Potentially influential spaces in the spatial networks of cities can be detected by means of the entropy participation ratios. Local (connectivity) and global (centrality) entropies are considered. While the connectivity entropy has a…