Stock Returns, Market Trends, and Information Theory: A Statistical Equilibrium Approach

2021 ◽  
Author(s):  
Emanuele Citera
Keyword(s):  
Information Theory ◽  
Stock Returns ◽  
Statistical Equilibrium ◽  
Equilibrium Approach ◽  
Market Trends

scholarly journals Dynamics of the US Housing Market: A Quantal Response Statistical Equilibrium Approach

Entropy ◽  
2018 ◽  
Vol 20 (11) ◽  
pp. 831 ◽  
Author(s):  
Özlem Ömer
Keyword(s):  
Housing Market ◽  
Maximum Entropy ◽  
Price Index ◽  
Housing Price ◽  
Statistical Equilibrium ◽  
Market Dynamics ◽  
Quantal Response ◽  
Housing Price Index ◽  
The Us ◽  
Equilibrium Approach

In this article, we demonstrate that a quantal response statistical equilibrium approach to the US housing market with the help of the maximum entropy method of modeling is a powerful way of revealing different characteristics of the housing market behavior before, during and after the recent housing market crash in the US. In this line, a maximum entropy approach to quantal response statistical equilibrium model (QRSE) is employed in order to model housing market dynamics in different phases of the most recent housing market cycle using the S&P Case Shiller housing price index for 20 largest- Metropolitan Regions, and Freddie Mac housing price index (FMHPI) for 367 Metropolitan Cities for the US between 2000 and 2015. Estimated model parameters provide an alternative way to understand and explain the behaviors of economic agents, and market dynamics by questioning the traditional economic theory, which takes assumption for the behavior of rational utility maximizing representative agent with self-fulfilled expectations as given.

scholarly journals Liquidity Risk and Asset Pricing in Pakistan Stock Exchange

2021 ◽  
Vol 19 (1) ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Excess Returns ◽  
Market Conditions ◽  
Bear Market ◽  
Market Trends ◽  
The Impact

This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors' attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by including the interaction between the liquidity risk and the indicators of bull- and bear-market periods to investigate whether the pricing of liquidity risk differs in both upward and downward market trends. The analysis is carried out for a large panel of Pakistani manufacturing firms listed at the Pakistan Stock Exchange for the period January 2000 – December 2015. We use alternative liquidity risk measures to check the robustness of the liquidity risk effect. We observe that higher liquidity risk yields higher excess stock returns, implying pricing of liquidity risk during the examined period. The results also reveal that the liquidity risk is positively and significantly related to excess returns in the high-liquidity-risk beta portfolios, whereas it is negatively or insignificantly related to excess returns of low-liquidity-risk beta portfolios. The results also provide evidence that stocks affected by liquidity risk yield positive expected returns in both bull and bear market conditions. However, we find significant differences in the pricing of liquidity risk under upward and downward market trends. The robustness check confirms that the findings on the pricing of liquidity risk are not driven by any specific measure of liquidity.

scholarly journals A Statistical Equilibrium Approach to the Distribution of Profit Rates

2016 ◽  
Vol 68 (3) ◽  
pp. 465-499 ◽  
Author(s):  
Ellis Scharfenaker ◽  
Gregor Semieniuk
Keyword(s):  
Statistical Equilibrium ◽  
Equilibrium Approach ◽  
Profit Rates

Quantum Information Theory

2016 ◽  
Author(s):  
Mark M. Wilde
Keyword(s):  
Information Theory ◽  
Quantum Information ◽  
Quantum Information Theory

Network Information Theory

2011 ◽  
Author(s):  
Abbas El Gamal ◽  
Young-Han Kim
Keyword(s):  
Information Theory ◽  
Network Information Theory ◽  
Network Information

Information Theory and Coding by Example

2009 ◽  
Author(s):  
Mark Kelbert ◽  
Yuri Suhov
Keyword(s):  
Information Theory

Constructing and Deconstructing Concepts

2016 ◽  
Vol 63 (5) ◽  
pp. 249-262 ◽  
Author(s):  
Charles A. Doan ◽  
Ronaldo Vigo
Keyword(s):  
Information Theory ◽  
Model Performance ◽  
Unsupervised Classification ◽  
Family Resemblance ◽  
Category Membership ◽  
Formal Models ◽  
Human Beings ◽  
One Dimensional ◽  
Relational Patterns ◽  
Optimal Classification

Abstract. Several empirical investigations have explored whether observers prefer to sort sets of multidimensional stimuli into groups by employing one-dimensional or family-resemblance strategies. Although one-dimensional sorting strategies have been the prevalent finding for these unsupervised classification paradigms, several researchers have provided evidence that the choice of strategy may depend on the particular demands of the task. To account for this disparity, we propose that observers extract relational patterns from stimulus sets that facilitate the development of optimal classification strategies for relegating category membership. We conducted a novel constrained categorization experiment to empirically test this hypothesis by instructing participants to either add or remove objects from presented categorical stimuli. We employed generalized representational information theory (GRIT; Vigo, 2011b , 2013a , 2014 ) and its associated formal models to predict and explain how human beings chose to modify these categorical stimuli. Additionally, we compared model performance to predictions made by a leading prototypicality measure in the literature.

Information theory (biology)

AccessScience ◽  
2015 ◽  
Keyword(s):  
Information Theory

Information theory

AccessScience ◽  
2015 ◽  
Keyword(s):  
Information Theory
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