相关论文: Grasping asymmetric information in market impacts

This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…

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…

Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…

The electrical activity of external anal sphincter can be registered with surface electromyography. This signals are known to be highly complex and nonlinear. This work aims in characterisation of the information carried in the signals by…

This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of…

We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allow us to recover the major events affecting worldwide markets (such as the September 11th terrorist attack) and analyze the way those…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…

Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility.…

Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the…

The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…

Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradition we show that many of the most…

We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol…

Analysis of a probabilistic system often requires to learn the joint probability distribution of its random variables. The computation of the exact distribution is usually an exhaustive precise analysis on all executions of the system. To…

Information is a valuable asset for agents in socio-economic systems, a significant part of the information being entailed into the very network of connections between agents. The different interlinkages patterns that agents establish may,…

Predicting stock prices presents a challenging research problem due to the inherent volatility and non-linear nature of the stock market. In recent years, knowledge-enhanced stock price prediction methods have shown groundbreaking results…

In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…

In this paper we study the complexity in the information traffic that occurs in the peruvian financial market, using the Shannon entropy. Different series of prices of shares traded on the Lima stock exchange are used to reconstruct the…

Upper and lower bounds are obtained for the joint entropy of a collection of random variables in terms of an arbitrary collection of subset joint entropies. These inequalities generalize Shannon's chain rule for entropy as well as…

We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean--reverting Ornstein--Uhlenbeck process.…

This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…