A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study complexity in financial market using Shannon entropy.
The paper examines how randomness in forex returns increases during financial crises.
Review of correlation-based financial networks and entropy measures.
The financial market entropy is modeled using open quantum systems.
Study detects anomalies in financial markets using GNN and nonextensive entropy.
This study uses moving average cluster entropy to analyze financial market dynamics.
This paper evaluates financial competitiveness of Indian real estate companies using entropy method.
Estimate relaxation times in nonextensive systems using gradient flow for Tsallis entropy maximization.
The paper explores tail diversification in financial markets using entropy and mutual information.
Study examines how war impacts financial entropy.
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 model. For asset pricing we define the continuous entropy as an alternative meas…
The paper applies information theory to financial markets, improving risk management and asset allocation.
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financ…
The paper proposes a method to identify high-quality financial patterns using entropy.
The real estate is a pillar industry of China's national economy. Due to changes in policy and market conditions, the real estate companies are facing greater pressures to survive in a competitive environment. They must improve their financial competitiveness. Based on the conceptual framework of financial competitiven…
With the help of transfer entropy, we analyze information flows between communities of complex networks. We show that the transfer entropy provides a coherent description of interactions between communities, including non-linear interactions. To put some flesh on the bare bones, we analyze transfer entropies between co…
Study predicts price predictability in ultra-high frequency financial data using entropy tests.
Study compares Bitcoin, gold, and gas price complexity using multifractal and multiscale entropy methods.
A new method for sampling high-dimensional distributions overcomes overfitting.
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of …
A method to complete incomplete correlation matrices using maximum entropy.
Novel framework for systemic risk analysis in financial markets.
New method uses asymmetric Tsallis relative entropy for better risk assessment in financial portfolios.
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked according to their size to form a probability distribution function and finally fed in…
The intrinsic entropy model accurately estimates stock market volatility.
This paper uses SampEn to measure and predict oil price volatility.
Method detects and visualizes changes in financial markets' asset relationships.
Order-flow entropy predicts price magnitude without directionality.
This paper extends financial theory to measure learnable market structure under computational constraints.
ECLIPSE detects AI hallucinations in finance with high accuracy.
The Moscow Stock Exchange was inefficient for most of 2012-2021.
This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can asse…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their correlation and cross correlation. When applied to daily and hourly EUR/USD and…
The paper introduces a framework to assess nonlinear causality in financial markets.
A new method predicts future paths using a Monte-Carlo approach.
In this paper, we quantify the statistical coherence between financial time series by means of the Renyi entropy. With the help of Campbell's coding theorem we show that the Renyi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentu…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynam…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena, as do the influential stocks (leaders) and sectors (communities), during market e…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the following issues: Is the stan…
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty is minimized, hence the p…
Unified framework maps financial market dynamics using TE and KM, revealing directional information flow.
We study a new ensemble of random correlation matrices related to multivariate Student (or more generally elliptic) random variables. We establish the exact density of states of empirical correlation matrices that generalizes the Marcenko-Pastur result. The comparison between the theoretical density of states in the St…
This study examines how financial tick data becomes more random with time aggregation.
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series. We make use of visibility algorithms to quantify in graph-theoretical terms time …
MGD combines maximum entropy and diffusion methods for efficient sampling.
In this work, we develop a novel framework to measure the similarity between dynamic financial networks, i.e., time-varying financial networks. Particularly, we explore whether the proposed similarity measure can be employed to understand the structural evolution of the financial networks with time. For a set of time-v…
In the existing financial literature, entropy based ideas have been proposed in portfolio optimization, in model calibration for options pricing as well as in ascertaining a pricing measure in incomplete markets. The abstracted problem corresponds to finding a probability measure that minimizes the relative entropy (al…
Geometric observables detect financial regime shifts with high accuracy.