PONTA , L

Market dynamics is quantified via the cluster entropy S(tau, n) = Sigma P-j(j)(tau, n) log P-j(tau, n), an information measure with P-j (tau, n) the probability for the clusters, defined by the intersection between the price series and its moving average with window n, to occur with duration tau. The cluster entropy S(tau, n) is estimated over...

Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio. We address this question by proposing the detrended cluster entropy approach to estimate the weights of a portfolio of high-frequency market indices. The information measure gathered from the markets...

In this paper, an information-based artificial stock market is considered. The market is populated by heterogeneous agents that are seen as nodes of a sparsely connected graph. Agents trade a risky asset in exchange for cash. Besides the amount of cash and assets owned, each agent is characterized by a sentiment. Moreover, agents share their...