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Articles 1 - 3 of 3
Full-Text Articles in Dynamical Systems
Measuring Stock Market Inefficiency Using A Multilayer Composite Efficiency Index: A Case Of The Egyptian Exchange, Patrick K. Owido, Hiroki Sayama
Measuring Stock Market Inefficiency Using A Multilayer Composite Efficiency Index: A Case Of The Egyptian Exchange, Patrick K. Owido, Hiroki Sayama
Northeast Journal of Complex Systems (NEJCS)
Financial markets play a critical role in resource allocation. Their performance depends on the decisions of millions of independent investors constantly reacting to one another. Their informational efficiency remains a subject of debate across economic systems. When informational efficiency is present at the weak form, historical price information should not consistently predict future returns. Several empirical tests of this hypothesis often focus on the behavior of aggregate market indices, and use individual efficiency proxies such as autocorrelation, GARCH-type volatility, or entropy-based measures to measure efficiency. This has often yielded mixed results, particularly in emerging markets. Here we show that testing …
A Measure Of Interactive Complexity In Network Models, Will Deter
A Measure Of Interactive Complexity In Network Models, Will Deter
Northeast Journal of Complex Systems (NEJCS)
This work presents an innovative approach to understanding and measuring complexity in network models. We revisit several classic characterizations of complexity and propose a novel measure that represents complexity as an interactive process. This measure incorporates transfer entropy and Jensen-Shannon divergence to quantify both the information transfer within a system and the dynamism of its constituents’ state changes. To validate our measure, we apply it to several well-known simulation models implemented in Python, including: two models of residential segregation, Conway’s Game of Life, and the Susceptible-Infected-Susceptible (SIS) model. Our results reveal varied trajectories of complexity, demonstrating the efficacy and sensitivity …
Entropic Dynamics Of Networks, Felipe Xavier Costa, Pedro Pessoa
Entropic Dynamics Of Networks, Felipe Xavier Costa, Pedro Pessoa
Northeast Journal of Complex Systems (NEJCS)
Here we present the entropic dynamics formalism for networks. That is, a framework for the dynamics of graphs meant to represent a network derived from the principle of maximum entropy and the rate of transition is obtained taking into account the natural information geometry of probability distributions. We apply this framework to the Gibbs distribution of random graphs obtained with constraints on the node connectivity. The information geometry for this graph ensemble is calculated and the dynamical process is obtained as a diffusion equation. We compare the steady state of this dynamics to degree distributions found on real-world networks.