An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities Industry Research Centre of the Asia Pacic). The recent growth in the availability of on-line financial news sources such as internet news and social media sources provides instantaneous access to financial news. Various commercial agencies have started developing their own filtered financial news feeds which are used by investors and traders to support their algorithmic trading strategies. Thomson Reuters News Analytics (TRNA)2 is one such data set. In this study we use the TRNA data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index componen

The Collective Communication of Social Choice Messages

The research problem addressed in this dissertation is to develop a theory of collective communication. Collective communication is defined as social interaction mediated through messages whose production involves a collectivity. The focus of analysis is on social choice messages, messages that prescribe or proscribe the behavior of members of that collectivity. The theory developed here is used to describe the social choice messages necessary to realize common interests in specific economic environments and the collective communication systems necessary to communicate those messages in those environments. The theory of collective communication is developed in four steps. First, a mathematical theory of collective communication is derived from the unification of game theory and information theory. Building upon the work of von Neumann and Morgenstern, Shannon, Ashby and Conant, philosophical foundations are established and nineteen theorems are derived to predict the transmission of information in a basic game and in a metagame whose outcomes describe constraints to be imposed upon strategic behavior in the basic game. Second, this mathematical theory is formally interpreted as a social theory of collective communication. Third, these theorems are applied to a variety of political and social problems, including those of common property resource management, market failure, the provision of public goods, collective action and coordinated action. Finally, the empirical validity of this theory is tested against research on the development of property rights. The set of regulations and statutes governing mining activity in Nevada between 1858 and 1895 is studied using the techniques of content analysis and multiple linear regression analysis. The predicted relationship between the precision of mining law and the value of mine output is found to be strong, with R squares as high as 0.82347. The research instrument is determined to be reliable and the findings to be statistically significant at the 0.01 level. The evidence presented here is limited but sufficient to motivate the continued development of a unified theory of information and games and the use of mathematical modeling to study salient social problems in the collective communication of social choice messages

Glossarium BITri 2016 : Interdisciplinary Elucidation of Concepts, Metaphors, Theories and Problems Concerning Information

222 p.Terms included in this glossary recap some of the main concepts, theories, problems and metaphors concerning INFORMATION in all spheres of knowledge. This is the first edition of an ambitious enterprise covering at its completion all relevant notions relating to INFORMATION in any scientific context. As such, this glossariumBITri is part of the broader project BITrum, which is committed to the mutual understanding of all disciplines devoted to information across fields of knowledge and practic

Toward a political economy of information capital.

Massachusetts Institute of Technology. Dept. of Economics. Thesis. 1971. Ph.D.Vita.Bibliography: leaves 172-176.Ph.D

A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded return series and a similar series for the VIX in terms of a long sample drawn from the CBOE running from 1990 to mid 2011 and a set of returns from SIRCA's TRTH datasets running from March 2005 to-date. We divide this shorter sample, which captures the behaviour of the new VIX, introduced in 2003, into four roughly equivalent sub-samples which permit the exploration of the impact of the Global Financial Crisis. We apply to our data sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree of uncertainty attached to these distributions changes through time and using the S&P 500 return as the dependent variable, that the amount of information obtained from the VIX also changes with time and reaches a relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions and their symmetry all strongly reject their respective nulls. The results suggest that parametric techniques do not adequately capture the complexities displayed in the behaviour of these series. This has practical implications for hedging utilising derivatives written on the VIX, which will be the focus of a subsequent study

The Importance of Quantum Information in the Stock Market and Financial Decision Making in Conditions of Radical Uncertainty

The Universe is a coin that’s already been flipped, heads or tails predetermined: all we’re doing is uncovering it the ‘paradox’ is only a conflict between reality and your feeling of what reality ‘ought to be’.Richard FeynmanThe aim of the research takes place through two parallel directions. The first is gaining an understanding of the applicability of quantum mechanics/quantum physics to human decision-making processes in the stock market with quantum information as a decision-making lever, and the second direction is neuroscience and artificial intelligence using postulates analogous to the postulates of quantum mechanics and radical uncertainty in conditions of radical uncertainty.The world of radical uncertainty (radical uncertainty is based on the knowledge of quantum mechanics from the claim that there is no causal certainty). it is everywhere in our world. "Radical uncertainty is characterized by vagueness, ignorance, indeterminacy, ambiguity and lack of information. He prefers to create 'mysteries' rather than 'puzzles' with defined solutions. Mysteries are ill-defined problems in which action is required, but the future is uncertain, the consequences unpredictable, and disagreement inevitable. "How should we make decisions in these circumstances?" (J. Kay and M. King, 2020), while "uncertainty and ambiguity are at the very core of the stock market. "Narratives are the currency of uncertainty" (N. Mangee, 2022)

The Importance of Quantum Information in the Stock Market and Financial Decision Making in Conditions of Radical Uncertainty

The Universe is a coin that’s already been flipped, heads or tails predetermined: all we’re doing is uncovering it the ‘paradox’ is only a conflict between reality and your feeling of what reality ‘ought to be’.Richard FeynmanThe aim of the research takes place through two parallel directions. The first is gaining an understanding of the applicability of quantum mechanics/quantum physics to human decision-making processes in the stock market with quantum information as a decision-making lever, and the second direction is neuroscience and artificial intelligence using postulates analogous to the postulates of quantum mechanics and radical uncertainty in conditions of radical uncertainty.The world of radical uncertainty (radical uncertainty is based on the knowledge of quantum mechanics from the claim that there is no causal certainty). it is everywhere in our world. "Radical uncertainty is characterized by vagueness, ignorance, indeterminacy, ambiguity and lack of information. He prefers to create 'mysteries' rather than 'puzzles' with defined solutions. Mysteries are ill-defined problems in which action is required, but the future is uncertain, the consequences unpredictable, and disagreement inevitable. "How should we make decisions in these circumstances?" (J. Kay and M. King, 2020), while "uncertainty and ambiguity are at the very core of the stock market. "Narratives are the currency of uncertainty" (N. Mangee, 2022)

A post Keynesian framework of exchange rate determination

This cumulative dissertation consists of three independent papers on Latin American exchange rates. The three works have in common that volatility and uncertainty play a crucial role for the understanding of exchange rates. The first study, “A post-Keynesian framework of exchange rate determination: a dynamical approach”, presents a mathematical approach to exchange rates dynamics. Following a post-Keynesian approach for exchange rate determination, we develop a model where the dynamics are driven by expectations. The model is capable of producing a rich variety of dynamic behaviors whose complexity is characterized by using the entropy measure. This work also introduces the notion of dynamic regime and shows how it can be used to analyze exchange rates under the post Keynesian framework. This approach contributes to the debate upon these issues, since literature has not provided a comprehensive explanation regarding the volatility of exchange rates in emerging peripheral economies. The second study, “An Application of Minimum Spanning Tress and Hierarchical Tress to the Study of Latin American Exchange Rates”, analyzes a group of nine Latin American currencies with the aim to identify clusters of exchange rates that present similar co-movements. In this work the study of currency relationships is formulated as a network problem where each currency is represented as a node, and the relationship between each pair of currencies as a link. The paper combines two method: Symbolic Time Series Analysis (STSA) and a clustering method based on the Minimal Spanning Tree (MST) from which we obtain a Hierarchical Tree (HT). Symbolic Time Series Analysis consists of the transformation of a given time series into a symbolic sequence with the aim of identifying patterns in the set of data. The Minimal Spanning Tree condenses the core information on the global structure of the network, and its main advantage is that it greatly simplifies comparisons by dramatically reducing the number of elements that must be compared. We identify two main clusters in the currency network, as well as specific currencies that function as transmission channels between clusters. Using data regarding the degree of financial liberalization, as well as the distinction between inflation targeting (IT) and non-IT countries, the analysis suggests that the obtained taxonomy is economically relevant. In the third study, “Entropy evolution of Latin American exchange rates”, we analyze the entropy evolution of nine Latin American currencies before and after the financial crisis of 2008. We utilize the concept of entropy to analyze the evolution of the exchange rates in terms of the ‘randomness of the third kind’. This randomness is produced by the continuing interaction between open-systems; as they interact, they exchange information and modify their levels of randomness. The main contribution of this chapter is threefold: First, we identify cycles in the evolution of entropy. Particularly, we observe the presence of entropic bubbles. Second, we address the question of differences in exchange rate regimes. We introduce an entropic ranking and classify currencies. Thereby we show that low entropy is associated with fix regimes, and high entropy with floating regimes. Finally, we introduce a statistical randomness test based on the entropy measure. The results reject randomness in all cases, which implies that pure flotation regimes are not present.Die vorliegende, kumulative Dissertation besteht aus drei eigenständigen Arbeiten über lateinamerikanische Wechselkurse. Diese drei haben gemeinsam, dass Volatilität und Unsicherheit als entscheidende Faktoren für das Verständnis, wie Wechselkurse funktionieren, identifiziert wurden. Das erste Kapitel, „A post-Keynesian framework of exchange rate determination: a dynamical approach“, beschreibt einen mathematische Herangehensweise zur Wechselkursdynamik. Ausgehend von einem postkeynesianischen Ansatz zur Wechselkursbestimmung, entwickeln wir ein Modell, bei dem die Dynamik von den Erwartungen bestimmt wird. Das Modell ist in der Lage eine Vielzahl von dynamischen Verhaltensweisen zu erzeugen, deren Komplexität durch die Verwendung des Entropiemaßes charakterisiert wird. Diese Arbeit führt auch in den Begriff des dynamischen Regimes ein und zeigt, wie er zur Analyse von Wechselkursen im postkeynesianischen Rahmen verwendet werden kann. Dieser Ansatz trägt zur Debatte über diese Fragen bei, da die Literatur keine umfassende Erklärung für die Volatilität der Wechselkurse in Schwellenländern der Peripherie liefert. Die zweite Studie, „ An Application of Minimum Spanning Tress and Hierarchical Tress to the Study of Latin American Exchange Rates“, analysiert eine Gruppe von neun lateinamerikanischen Währungen mit dem Ziel, Cluster von Wechselkursen mit ähnlichen Co-Bewegungen zu identifizieren. In dieser Arbeit wird die Untersuchung von Währungsbeziehungen als Netzwerkproblem formuliert, wobei jede Währung als Knoten, und die Beziehung zwischen jedem Währungspaar als Verbindung dargestellt wird. Der Artikel kombiniert zwei Methoden: die symbolische Zeitreihenanalyse (STSA) und eine Clustering-Methode, die auf dem Minimal Spanning Tree (MST) basiert. Daraus erhalten wir einen hierarchischen Baum (HT). Die symbolische Zeitreihenanalyse besteht in der Umwandlung einer bestimmten Zeitreihe in eine symbolische Folge mit dem Ziel, Muster in der Datenmenge zu identifizieren. Der Minimal Spanning Tree verdichtet die Kerninformationen über die globale Struktur des Netzwerks und hat den Hauptvorteil, dass Vergleiche erheblich vereinfacht werden, indem die Anzahl der zu vergleichenden Elemente drastisch reduziert wird. Wir identifizieren zwei Hauptcluster im Währungsnetzwerk, sowie bestimmte Währungen, die als Übertragungskanäle zwischen Clustern fungieren. Unter Verwendung von Daten zum Grad der Finanzliberalisierung, sowie zur Unterscheidung zwischen Inflation Targeting (IT) und Nicht-IT-Ländern, lässt die Analyse darauf schließen, dass die ermittelte Taxonomie wirtschaftlich relevant ist. In der dritten Studie, „Entropy evolution of Latin American exchange rates“, analysieren wir die Entropieentwicklung von neun lateinamerikanischen Währungen vor und nach der Finanzkrise von 2008. Wir verwenden das Konzept der Entropie, um die Entwicklung der Wechselkurse im Hinblick auf die Zufälligkeit der dritten Art zu analysieren. Diese Zufälligkeit entsteht durch die ständige Interaktion zwischen offenen Systemen; während der Interaktion tauschen sie Informationen aus und ändern ihre Zufälligkeitsebenen. Der Hauptbeitrag dieses Kapitels teilt sich in drei Teile auf. Zunächst identifizieren wir Zyklen in der Entwicklung der Entropie. Hierbei beobachten wir insbesondere das Vorhandensein von entropischen Blasen. Zweitens befassen wir uns mit der Frage der Unterschiede in den Wechselkursregelungen. Hierzu führen wir ein entropisches Ranking ein und klassifizieren Währungen. Wir zeigen, dass niedrige Entropie mit festen Regimen verbunden ist und hohe Entropie mit Flotationsregimen. Schließlich führen wir einen statistischen Zufallstest ein, der auf dem Entropiemaß basiert. Die Ergebnisse lehnen in allen Fällen die Zufälligkeit ab, was impliziert, dass keine reinen Flotationsregime vorhanden sind

Common Knowledge and Interactive Behaviors: A Survey

This paper surveys the notion of common knowledge taken from game theory and computer science. It studies and illustrates more generally the effects of interactive knowledge in economic and social problems. First of all, common knowledge is shown to be a central concept and often a necessary condition for coordination, equilibrium achievement, agreement, and consensus. We present how common knowledge can be practically generated, for example, by particular advertisements or leadership. Secondly, we prove that common knowledge can be harmful, essentially in various cooperation and negotiation problems, and more generally when there are con icts of interest. Finally, in some asymmetric relationships, common knowledge is shown to be preferable for some players, but not for all. The ambiguous welfare effects of higher-order knowledge on interactive behaviors leads us to analyze the role of decentralized communication in order to deal with dynamic or endogenous information structures.Interactive knowledge, common knowledge, information structure, communication.