Related papers: Transfer Entropy Analysis of the Stock Market
Cells can be considered as systems that utilize changes in thermodynamic entropy as information. Therefore, they serve as useful models for investigating the relationships between entropy production and information transmission, i.e.,…
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…
Entropy is the measure of uncertainty in any data and is adopted for maximisation of mutual information in many remote sensing operations. The availability of wide entropy variations motivated us for an investigation over the suitability…
We study the entropy production of a system with a finite number of states connected by random transition rates. The stationary entropy production, driven out of equilibrium both by asymmetric transition rates and by an external probability…
Shannon Entropy is the preeminent tool for measuring the level of uncertainty (and conversely, information content) in a random variable. In the field of communications, entropy can be used to express the information content of given…
This article investigates the information flow between 13 Green Bond ETFs (Exchange Traded Funds) from three global markets: the USA, Canada,and Europe, between 2021 and 2022. We used the transfer entropy and effective transfer entropy…
Electricity price forecasting is an essential task in all the deregulated markets of the world. The accurate prediction of the day-ahead electricity prices is an active research field and available data from various markets can be used as…
A stock market is considered as one of the highly complex systems, which consists of many components whose prices move up and down without having a clear pattern. The complex nature of a stock market challenges us on making a reliable…
We briefly review statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents…
The concept of entropy is not uniquely relevant to the statistical mechanics but among others it can play pivotal role in the analysis of a time series, particularly the stock market data. In this area sudden events are especially…
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty,…
We relate the information exchange between two stochastic systems to the nonequilibrium entropy production in the whole system. By deriving a general formula that decomposes the total entropy production into the thermodynamic and…
The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the…
Despite the wide usage of information as a concept in science, we have yet to develop a clear & concise scientific definition. This paper is aimed at laying the foundations for a new theory concerning the mechanics of information alongside…
This paper introduces an approach to gas-like models, from the concept of entropy, using the money stock data of two economic agents, in this case of two countries, which carry out market actions (trading) in two theoretical scenarios: in…
In this article, we review a general theoretical framework of thermodynamics of information on the basis of Bayesian networks. This framework can describe a broad class of nonequilibrium dynamics of multiple interacting systems with complex…
Entropy and information provide natural measures of correlation among elements in a network. We construct here the information theoretic analog of connected correlation functions: irreducible $N$--point correlation is measured by a decrease…
Maximum entropy (maxEnt) inference of state probabilities using state-dependent constraints is popular in the study of complex systems. In stochastic dynamical systems, the effect of state space topology and path-dependent constraints on…
In this paper we develop the concept of information transfer between the Borel-measurable sets for a dynamical system described by a measurable space and a non-singular transformation. The concept is based on how Shannon entropy is…
Transfer entropy is an established method for quantifying directed statistical dependencies in neuroimaging and complex systems datasets. The pairwise (or bivariate) transfer entropy from a source to a target node in a network does not…