相关论文: Information flow networks of Chinese stock market …
Using the carefully selected industry classification standard, we divide 102 industry securities indices in China's stock market into four demand-oriented sector groups and identify demand-oriented industry-specific volatility spillover…
We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock…
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of…
We study the structure of inter-industry relationships using networks of money flows between industries in 20 national economies. We find these networks vary around a typical structure characterized by a Weibull link weight distribution,…
To analyze the transport of information or material from a source to every node of a network we use two quantities introduced in the study of river networks: the cost and the flow. For a network with $K$ nodes and $M$ levels, we show that…
We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a symbolic representation of this time…
Using the formalism of information theory, we analyze the mechanism of information transduction in a simple one-step signaling cascade S$\rightarrow$X representing the gene regulatory network. Approximating the signaling channel to be…
Information flow analysis is a powerful technique for reasoning about the sensitive information exposed by a program during its execution. While past work has proposed information theoretic metrics (e.g., Shannon entropy, min-entropy,…
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of…
Drawing on the new pattern of 'dual circulation', an evaluation system for the development level of China's higher education has been constructed, utilizing data from Chinese provinces over the period 2020 to 2022. Initially, the evaluation…
The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock Exchange A-shares (SSE A-shares) during tranquil periods,…
Interaction networks, consisting of agents linked by their interactions, are ubiquitous across many disciplines of modern science. Many methods of analysis of interaction networks have been proposed, mainly concentrating on node degree…
This chapter provides a comprehensive and self-contained discussion of the most recent developments of information theory of networks. Maximum entropy models of networks are the least biased ensembles enforcing a set of constraints and are…
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical…
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…
Recognizing that asset markets generally exhibit shared informational characteristics, we develop a portfolio strategy based on transfer learning that leverages cross-market information to enhance the investment performance in the market of…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
A measure is derived to quantify directed information transfer between pairs of vertices in a weighted network, over paths of a specified maximal length. Our approach employs a general, probabilistic model of network traffic, from which the…
Network science enables the effective analysis of real interconnected systems, characterized by a complex interplay between topology and interconnections strength. It is well-known that the topology of a network affects its resilience to…
Structural properties of the ship-transport network of China (STNC) are studied in the light of recent investigations of complex networks. STNC is composed of a set of routes and ports located along the sea or river. Network properties…