Fractal properties, information theory, and market efficiency

Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus provide a theoretical expression for the market information when log-prices follow either a fractional Brownian motion or its stationary extension using the Lamperti transform. In the latter model, we show that a Hurst exponent close to 1/2 can lead to a very high informativeness of the time series, because of the stationarity mechanism. In addition, we introduce a multiscale method to get a deeper interpretation of the entropy and of the market information, depending on the size of the information set. Applications to Bitcoin, CAC 40 index, Nikkei 225 index, and EUR/USD FX rate, using daily or intraday data, illustrate the methodological content

Maxwell’s Demon and Information Theory in Market Efficiency: A Brillouin’s Perspective

By using Brillouin’s perspective on Maxwell’s demon, we determine a new way to describe investor behaviors in financial markets. The efficient market hypothesis (EMH) in its strong form states that all information in the market, public or private, is accounted for in the stock price. By simulations in an agent-based model, we show that an informed investor using alternative data, correlated to the time series of prices of a financial asset, is able to act as a Maxwell’s demon on financial markets. They are then able to perform statistical arbitrage consistently with the adaptive market hypothesis (AMH). A new statistical test of market efficiency provides some insight into the impact of the demon on the market. This test determines the amount of information contained in the series, using quantities which are widespread in information theory such as Shannon’s entropy. As in Brillouin’s perspective, we observe a cycle: Negentropy->Information->Negentropy. This cycle proves the implication of the investor depicted as a Maxwell’s demon in the market with the knowledge of alternative data

Associated data: Indexation, discovery, challenges and roles

Astronomers are nowadays required by their funding agencies to make the data obtained through public-financed means (ground and space observatories and labs) available to the public and the community at large. This is a fundamental step in enabling the open science paradigm the astronomical community is striving for. In other words, tabular data (catalogs) arriving to CDS for ingestion into its databases, in particular VizieR, is more and more frequently accompanied by the reduced observed dataset (spectra, images, data cubes, time series). While the benefits of making this associated data available are obvious, the task is very challenging: in this context "big data" takes the meaning of "extremely heterogeneous data", with a diversity of formats and practices among astronomers, even within the FITS standard. Providing librarians with efficient tools to index this data and generate the relevant metadata is therefore paramount

Associated data: Indexation, discovery, challenges and roles

Astronomers are nowadays required by their funding agencies to make the data obtained through public-financed means (ground and space observatories and labs) available to the public and the community at large. This is a fundamental step in enabling the open science paradigm the astronomical community is striving for. In other words, tabular data (catalogs) arriving to CDS for ingestion into its databases, in particular VizieR, is more and more frequently accompanied by the reduced observed dataset (spectra, images, data cubes, time series). While the benefits of making this associated data available are obvious, the task is very challenging: in this context "big data" takes the meaning of "extremely heterogeneous data", with a diversity of formats and practices among astronomers, even within the FITS standard. Providing librarians with efficient tools to index this data and generate the relevant metadata is therefore paramount

Working Together at CDS: The Symbiosis Between Astronomers, Documentalists, and IT Specialists

International audienceSince the CDS (Centre de Données astronomiques de Strasbourg) began a little more than forty years ago, astronomers, documentalists, and information technology (IT) specialists have been working together. The synergy between these three professional groups support the core of the work and is becoming more and more crucial with the increasing volume and complexity of data handled. The astronomers use their understanding of the subject and of users' needs to help to maintain the accuracy and the relevance of data. The computer engineers enhance these data by maintaining the database framework and continuing to add useful tools to retrieve and reuse this content. Finally, the documentalists, by definition, manage the content. They do so with the help of IT tools developed at CDS; they analyze the publications, extract the relevant information, verify the data, make comparisons with existing data, add the useful information in VizieR and SIMBAD, and confer with astronomers to make corrections, if needed. After an historical review of the evolution in data and the way data have been provided at CDS, we will further discuss the fundamental roles of the three professional groups to support the mission of the CDS