Related papers: Transfer Entropy Analysis of the Stock Market
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
In the last years new interdisciplinary approaches to economics and social science have been developed. A Thermodynamic approach to socio-economics has brought to a new interdisciplinary scientific field called econophysics. Why…
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the…
Applications of deep learning in financial market prediction has attracted huge attention from investors and researchers. In particular, intra-day prediction at the minute scale, the dramatically fluctuating volume and stock prices within…
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
In this paper, we analyze the relationship between entropy and information in the context of the mixing process of two identical ideal gases. We will argue that entropy has a special information-based feature that is enfolded in the…
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma…
Information theory has been taken as a prospective tool for quantifying the complexity of complex networks. In this paper, we first study the information entropy or uncertainty of a path using the information theory. Then we apply the path…
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…
Organizations generate vast amounts of interconnected content across various platforms. While language models enable sophisticated reasoning for use in business applications, retrieving and contextualizing information from organizational…
The diffusion of electric vehicles (EVs) is studied in a two-sided market framework consisting of EVs on the one side and EV charging stations (EVCSs) on the other. A sequential game is introduced as a model for the interactions between an…
Problem of classification of all the set of entangled states is considered. Invariance of entangled states relative to transformations from a group of symmetry of qubit space leads to classification of all states of the system through…
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
Machine-type communications (MTC) are crucial in the evolution of mobile communication systems. Within this context, we distinguish the so-called massive MTC (mMTC), where a large number of devices coexist in the same geographical area. In…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
We introduce a new measure of interdependence among the components of a random vector along the main diagonal of the vector copula, i.e. along the line $u_{1}=\ldots=u_{J}$, for $\left(u_{1},\ldots,u_{J}\right)\in\left[0,1\right]^{J}$. Our…
The worldwide trade network has been widely studied through different data sets and network representations with a view to better understanding interactions among countries and products. Here we investigate international trade through the…
The paper is devoted to the analysis of relationships between principal objects of the spectral theory of dynamical systems (transfer and weighted shift operators) and basic characteristics of information theory and thermodynamic formalism…