Maximum Entropy Production Principle for Stock Returns

In our previous studies we have investigated the structural complexity of time series describing stock returns on New York's and Warsaw's stock exchanges, by employing two estimators of Shannon's entropy rate based on Lempel-Ziv and Context Tree Weighting algorithms, which were originally used for data compression. Such structural complexity of the time series describing logarithmic stock returns can be used as a measure of the inherent (model-free) predictability of the underlying price formation processes, testing the Efficient-Market Hypothesis in practice. We have also correlated the estimated predictability with the profitability of standard trading algorithms, and found that these do not use the structure inherent in the stock returns to any significant degree. To find a way to use the structural complexity of the stock returns for the purpose of predictions we propose the Maximum Entropy Production Principle as applied to stock returns, and test it on the two mentioned markets, inquiring into whether it is possible to enhance prediction of stock returns based on the structural complexity of these and the mentioned principle.Comment: 14 pages, 5 figure

Tracking Human Mobility using WiFi signals

We study six months of human mobility data, including WiFi and GPS traces recorded with high temporal resolution, and find that time series of WiFi scans contain a strong latent location signal. In fact, due to inherent stability and low entropy of human mobility, it is possible to assign location to WiFi access points based on a very small number of GPS samples and then use these access points as location beacons. Using just one GPS observation per day per person allows us to estimate the location of, and subsequently use, WiFi access points to account for 80\% of mobility across a population. These results reveal a great opportunity for using ubiquitous WiFi routers for high-resolution outdoor positioning, but also significant privacy implications of such side-channel location tracking

Visual analytics of flight trajectories for uncovering decision making strategies

In air traffic management and control, movement data describing actual and planned flights are used for planning, monitoring and post-operation analysis purposes with the goal of increased efficient utilization of air space capacities (in terms of delay reduction or flight efficiency), without compromising the safety of passengers and cargo, nor timeliness of flights. From flight data, it is possible to extract valuable information concerning preferences and decision making of airlines (e.g. route choice) and air traffic managers and controllers (e.g. flight rerouting or optimizing flight times), features whose understanding is intended as a key driver for bringing operational performance benefits. In this paper, we propose a suite of visual analytics techniques for supporting assessment of flight data quality and data analysis workflows centred on revealing decision making preferences

Monetary policy predictability in the euro area: An international comparison

The paper evaluates the ability of market participants to anticipate monetary policy decisions in the euro area and in 13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of the ECB’s monetary policy is fully comparable (and sometimes slightly better) to that of the FED and the Bank of England. Finally, an econometric analysis of the ability of market participants to incorporate in the current money rates the expected changes in the key policy rate shows that in the euro area policy decisions are anticipated well in advance.Monetary policy, Predictability, Money market rates

Multiscale mobility networks and the large scale spreading of infectious diseases

Among the realistic ingredients to be considered in the computational modeling of infectious diseases, human mobility represents a crucial challenge both on the theoretical side and in view of the limited availability of empirical data. In order to study the interplay between small-scale commuting flows and long-range airline traffic in shaping the spatio-temporal pattern of a global epidemic we i) analyze mobility data from 29 countries around the world and find a gravity model able to provide a global description of commuting patterns up to 300 kms; ii) integrate in a worldwide structured metapopulation epidemic model a time-scale separation technique for evaluating the force of infection due to multiscale mobility processes in the disease dynamics. Commuting flows are found, on average, to be one order of magnitude larger than airline flows. However, their introduction into the worldwide model shows that the large scale pattern of the simulated epidemic exhibits only small variations with respect to the baseline case where only airline traffic is considered. The presence of short range mobility increases however the synchronization of subpopulations in close proximity and affects the epidemic behavior at the periphery of the airline transportation infrastructure. The present approach outlines the possibility for the definition of layered computational approaches where different modeling assumptions and granularities can be used consistently in a unifying multi-scale framework.Comment: 10 pages, 4 figures, 1 tabl