Influence of Transfer Entropy in the Short-Term Prediction of Financial Time Series Using an ∊-Machine

Predicting the values of a financial time series is mainly a function of its price history, which depends on several factors, internal and external. With this history, it is possible to build an ∊-machine for predicting the financial time series. This work proposes considering the influence of a financial series through the transfer of entropy when the values of the other financial series are known. A method is proposed that considers the transfer of entropy for breaking the ties that occur when calculating the prediction with the ∊-machine. This analysis is carried out using data from six financial series: two American, the S&P 500 and the Nasdaq; two Asian, the Hang Seng and the Nikkei 225; and two European, the CAC 40 and the DAX. This work shows that it is possible to influence the prediction of the closing value of a series if the value of the influencing series is known. This work showed that the series that transfer the most information through entropy transfer are the American S&P 500 and Nasdaq, followed by the European DAX and CAC 40, and finally the Asian Nikkei 225 and Hang Seng.     

Entropy as a measure of the noise extent in a two-level quantum feedback controlled system

By introducing the von Neumann entropy as a measure of the extent of noise, this paper discusses the entropy evolution in a two-level quantum feedback controlled system. The results show that the feedback control can induce the reduction of the degree of noise, and different control schemes exhibit different noise controlling ability, the extent of the reduction also related with the position of the target state on the Bloch sphere. It is shown that the evolution of entropy can provide a real time noise observation and a systematic guideline to make reasonable choice of control strategy.     

Wavelet Jensen–Shannon divergence as a tool for studying the dynamics of frequency band components in EEG epileptic seizures

We develop a quantitative method of analysis of EEG records. The method is based on the wavelet analysis of the record and on the capability of the Jensen–Shannon divergence (JSD) to identify dynamical changes in a time series. The JSD is a measure of distance between probability distributions. Therefore for its evaluation it is necessary to define a (time dependent) probability distribution along the record. We define this probability distribution from the wavelet decomposition of the associated time series. The wavelet JSD provides information about dynamical changes in the scales and can be considered a complementary methodology reported earlier [O.A. Rosso, S. Blanco, A. Rabinowicz, Signal Processing 86 (2003) 1275; O.A. Rosso, S. Blanco, J. Yordanova, V. Kolev, A. Figliola, M. Schürmann, E. Ba?ar, J. Neurosci. Methods 105 (2001) 65; O.A. Rosso, M.T. Martin, A. Figliola, K. Keller, A. Plastino, J. Neurosci. Methods 153 (2006) 163]. In the present study we have demonstrated it by analyzing EEG signal of tonic–clonic epileptic seizures applying the JSD method. The display of the JSD curves enables easy comparison of frequency band component dynamics. This would, in turn, promise easy and successful comparison of the EEG records from various scalp locations of the brain.     

Hotel Performance in the UK: The Role of Information Entropy in a Novel Slack-Based Data Envelopment Analysis

Previous hotel performance studies neglected the role of information entropy in feedback processes between input and output management. This paper focuses on this gap by exploring the relationship between hotel performance at the industry level and the capability of learning by doing and adopting best practices using a sample of 153 UK hotels over a 10-year period between 2008–2017. Besides, this research also fills a literature gap by addressing the issues of measuring hotel performance in light of negative outputs. In order to achieve this, we apply a novel Modified slack-based model for the efficiency analysis and Least Absolute Shrinkage and Selection Operator to examine the influence of entropy related variable on efficiency score. The Results indicate that less can be learnt from inputs than from outputs to improve efficiency levels and resource allocation is more balanced than cash flow and liquidity. The findings suggest that market dynamics explains the cash flow generation potential and liquidity. We find that market conditions are increasingly offering the opportunities for learning and improving hotel efficiency. The results report that the distinctive characteristic of superior performance in hotel operations is the capability to match the cash flow generation potential with market opportunities.     

Assessing the Europe 2020 Strategy Implementation Using Interval Entropy and Cluster Analysis for Interrelation between Two Groups of Headline Indicators

The research analyzes the progress of Member States in the implementation of Europe 2020 strategy targets and goals in 2016–2018. Multiple criteria decision-making approaches applied for this task. The set of headline indicators was divided into two logically explained groups. Interval entropy is proposed as an effective tool to make prioritization of headline indicators in separate groups. The sensitivity of the interval entropy is its advantage over classical entropy. Indicator weights were calculated by applying the WEBIRA (weight-balancing indicator ranks accordance) method. The WEBIRA method allows the best harmonization of ranking results according to different criteria groups—this is its advantage over other multiple-criteria methods. Final assessing and ranking of the 28 European Union countries (EU-28) was implemented through the α-cut approach. A k-means clustering procedure was applied to the EU-28 countries by summarizing the ranking results in 2016–2018. Investigation revealed the countries–leaders and countries–outsiders of the Europe 2020 strategy implementation process. It turned out that Sweden, Finland, Denmark, and Austria during the three-year period were the countries that exhibited the greatest progress according to two headline indicator groups’ interrelation. Cluster analysis results are mainly consistent with the EU-28 countries’ categorizations set by other authors.