An Information-Theoretic Test for Dependence with an Application to the Temporal Structure of Stock Returns

Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that time series data can usefully be studied as information -- by noting the relationship between statistical redundancy and dependence, we are able to use the results of information theory to construct a test for joint dependence of random variables. The test is in the same spirit of those developed by Ryabko and Astola (2005, 2006b,a), but differs from these in that we add extra randomness to the original stochatic process. It uses data compression to estimate the entropy rate of a stochastic process, which allows it to measure dependence among sets of random variables, as opposed to the existing econometric literature that uses entropy and finds itself restricted to pairwise tests of dependence. We show how serial dependence may be detected in S&P500 and PSI20 stock returns over different sample periods and frequencies. We apply the test to synthetic data to judge its ability to recover known temporal dependence structures.Comment: 22 pages, 7 figure

The Research of Technological Approach to the Modeling of Information and Analytic Provision of Managing an Enterprise

The article is devoted to the solution of actual problems of innovative development of information and analytical provision of managing an enterprise according to the newest technology. A number of recommendations concerning technological upgrading foundation of modernization of information and analytic provision of managing an enterprise are elaborated. Technological approach to the modeling of information provision of business management is substantiated. Actualizing information and analytic provision of managing an enterprise has been carried out in developed flexible information system that is organized as internal network structure. Technological foundation of information and analytical process enterprise to modernize has been considered based on the modern tools of information and communication decisions. Information and analytical provision of managing have been developed through internal and external parallels of impact, which interconnection coordinates theory, methodology and organization of information processes with actualization of its model. The model of information and analytic provision of managing an enterprise according to the individual characteristics of corporate culture, and information environment and development strategy of business entity on the basis of characteristics of technological provision of information process is developed. Information complex has been suggested as developed system with technological process of forming initial data and modernizing processing, transmission and storage of information in accordance with distinctive characteristics of enterprise and general tendencies of its developmen

On the history and use of some standard statistical models

This paper tries to tell the story of the general linear model, which saw the light of day 200 years ago, and the assumptions underlying it. We distinguish three principal stages (ignoring earlier more isolated instances). The model was first proposed in the context of astronomical and geodesic observations, where the main source of variation was observational error. This was the main use of the model during the 19th century. In the 1920's it was developed in a new direction by R.A. Fisher whose principal applications were in agriculture and biology. Finally, beginning in the 1930's and 40's it became an important tool for the social sciences. As new areas of applications were added, the assumptions underlying the model tended to become more questionable, and the resulting statistical techniques more prone to misuse.Comment: Published in at http://dx.doi.org/10.1214/193940307000000419 the IMS Collections (http://www.imstat.org/publications/imscollections.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Principles of forming a modern accounting and analytical model of commercial organization in digital economy

Purpose: The article presents basic methodological approaches to the creation of a new model of forming and functioning of the accounting and analytical system to meet the information needs of internal and external stakeholders of organizations. Design/Approach/Methodology: Substantiation of the principles of building a system for accounting and analytical information management that meets current conditions for the business functioning using modern hardware and software. Findings: The developed model of cascade functioning of organization’s information support system optimizes the structure and content of accounting and analytical modules, contributes to the effective implementation of management functions, timely control and rapid response to the impact of negative factors. Practical implications: The principles of information flow management system constructing formulated in the article contribute to optimization of expenses for organization of accounting and analytical functions, improvement of quality of financial and non-financial reporting, realistic assessment and forecasting of business efficiency. Originality/Value: The proposed new model for constructing an accounting and analytical information base allows to improve the procedures of collection, processing, storage and disclosure of financial and non-financial information, to create a balanced structure of the database on the basis of cascade digitization of primary and derived data.peer-reviewe

Modeling Worldwide Highway Networks

This letter addresses the problem of modeling the highway systems of different countries by using complex networks formalism. More specifically, we compare two traditional geographical models with a modified geometrical network model where paths, rather than edges, are incorporated at each step between the origin and destination nodes. Optimal configurations of parameters are obtained for each model and used in the comparison. The highway networks of Brazil, the US and England are considered and shown to be properly modeled by the modified geographical model. The Brazilian highway network yielded small deviations that are potentially accountable by specific developing and sociogeographic features of that country.Comment: 5 pages, 3 figures, 1 tabl

Growth strategies and poverty reduction: the institutional complementarity hypothesis

This article starts from the limits of the policies that assume a significant de-connection between antipoverty strategies and the logic of the growth regime and that mainly rely upon market mechanisms. By contrast, a branch of the new institutional economics argues that a complete set of coordinating mechanisms is constitutive of really existing economies and that they are more complementary than substitute. The Institutional Complementarity Hypothesis (ICH) may be useful for analyzing simultaneously the antipoverty policies and the viability of growth regimes. The different brands of capitalism are the outcome of complementary institutions concerning competition, labor market institutions, welfare and innovation systems. Generally, such configurations cannot be emulated by poor developing countries, but reviewing the preliminary findings of the UNRISD country case studies suggests some common features to all successful experiments. Basically, antipoverty policies are efficient when they create the equivalent of virtuous circles within which growth entitles antipoverty programs and conversely these programs sustain the speed and stability of growth. Two methods are proposed in order to detect possible complementarities and design accordingly economic policies: the Qualitative Comparative Analysis (QCA) on one side, national growth diagnosis on the other side. A special attention is devoted to the timing of policies and the role of policy regimes. A brief conclusion wraps up the major findings and proposes a research agenda.development theory ; antipoverty policy ; Washington consensus ; new institutional economics ; institutional complementarity hypothesis ; qualitative comparative analysis ; growth diagnosis

Measuring the integrated effectiveness of regional development : directions for regional government

Purpose: The purpose of the study is to identify the proper economic tools to evaluate the effectiveness and efficiency of a regional development policy. Design/Methodology/Approach: The proposed methodology consists of three stages. At the first stage, the indicators are analyzed, allowing pointing the level of particular development dimensions in the self government strategy. At the second stage, indicators characterizing the efficiency of Opolskie Regional Operating Programme (OROP) and Development Strategy of Opole Voivodeship are examined. The third final stage is the analysis of the integrated effectiveness of regional development policy. The research methodology is based on the use of the following methods: desk research, the method of grouping statistical data, and the method of effectiveness analysis. Findings: The proposed methodology let us to find the need of redefining the tool enabling the measure of the degree of imbalance as the result of leading the regional development policy, as well as the uneven development potentials. Practical Implications: The authors purpose a new approach to the regional development policy by defining the complementary tools for regional self government evaluation. Originality/Value: The authors propose the new approach to the regional development policy programming, especially by redefining regional needs included into regional strategies.peer-reviewe

The future of work: Towards a progressive agenda for all. EPC Issue Paper 9 DECEMBER 2019

Europe’s labour markets and the world of work in general are being transformed by the megatrends of globalisation, the fragmentation of the production and value chain, demographic ageing, new societal aspirations and the digitalisation of the economy. This Issue Paper presents the findings and policy recommendations of “The future of work – Towards a progressive agenda for all”, a European Policy Centre research project. Its main objectives were to expand public knowledge about these profound changes and to reverse the negative narrative often associated with this topic. It aimed to show how human decisions and the right policies can mitigate upcoming disruptions and provide European and national policymakers with a comprehensive toolkit for a progressive agenda for the new world of work