相关论文: Information flow networks of Chinese stock market …

Consider a tree network T, where each edge acts as an independent copy of a given channel M, and information is propagated from the root. For which T and M does the configuration obtained at level n of T typically contain significant…

Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This…

To infer information flow in any network of agents, it is important first and foremost to establish causal temporal relations between the nodes. Practical and automated methods that can infer causality are difficult to find, and the subject…

Data transformation, e.g. feature transformation and selection, is an integral part of any machine learning procedure. In this paper we introduce an information-theoretic model and tools to assess the quality of data transformations in…

The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…

We explore the dynamics of information systems. We show that the driving force for information dynamics is determined by both the information landscape and information flux which determines the equilibrium time reversible and the…

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…

Whether or not stocks are predictable has been a topic of concern for decades.The efficient market hypothesis (EMH) says that it is difficult for investors to make extra profits by predicting stock prices, but this may not be true,…

The $n$-index R\'enyi mutual information and transfer entropy for the two-dimensional kinetic Ising model with arbitrary single-spin dynamics in the thermodynamic limit are derived as functions of thermodynamic quantities. By means of Monte…

We simulate the canonical Vicsek model and estimate the flow of information as a function of noise (the variability in the extent to which each animal aligns with its neighbours). We show that the global transfer entropy for finite flocks…

In nervous system information is conveyed by sequence of action potentials (spikes-trains). As MacKay and McCulloch proposed, spike-trains can be represented as bits sequences coming from Information Sources. Previously, we studied…

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…

A class of models describing the flow of information within networks via routing processes is proposed and investigated, concentrating on the effects of memory traces on the global properties. The long-term flow of information is governed…

Material flow analyses (MFAs) provide insight into supply chain level opportunities for resource efficiency. MFAs can be represented as networks with nodes that represent materials, processes, sectors or locations. MFA network structure…

In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…

In this paper we analyse the structure of Warsaw's stock market using complex systems methodology together with network science and information theory. We find minimal spanning trees for log returns on Warsaw's stock exchange for yearly…

In this paper we propose a novel index to quantify and measure the flow of information on macro and micro scales. We discuss the implications of this index for knowledge management fields and also as intellectual capital that can thus be…

Information flow or information transfer is an important concept in dynamical systems which has applications in a wide variety of scientific disciplines. In this study, we show that a rigorous formalism can be established in the context of…

In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…

Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…