Rényi Transfer Entropy Estimators for Financial Time Series

Jizba, Petr; Lavička, Hynek; Zlata, Tabachová,

doi:10.3390/engproc2021005033

Cited by 2 publications

(1 citation statement)

References 16 publications

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“…In this study, we utilized Shannon entropy in our transfer entropy calculations because Shannon entropy is more basic and does not require the selection of a free parameter which complicates the results. In the literature, there are many applications of Rényi entropy-based transfer entropy methodology [ 10 , 11 , 12 , 13 , 14 ]. Ultimately, we chose the transfer entropy methodology for the following reasons: First, unlike other causality assessment methods, transfer entropy not only detects whether there is causality but also measures the strength of this causality.…”

Section: Introductionmentioning

confidence: 99%

Causality Analysis for COVID-19 among Countries Using Effective Transfer Entropy

Ünal

2022

Entropy

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In this study, causalities of COVID-19 across a group of seventy countries are analyzed with effective transfer entropy. To reveal the causalities, a weighted directed network is constructed. In this network, the weights of the links reveal the strength of the causality which is obtained by calculating effective transfer entropies. Transfer entropy has some advantages over other causality evaluation methods. Firstly, transfer entropy can quantify the strength of the causality and secondly it can detect nonlinear causal relationships. After the construction of the causality network, it is analyzed with well-known network analysis methods such as eigenvector centrality, PageRank, and community detection. Eigenvector centrality and PageRank metrics reveal the importance and the centrality of each node country in the network. In community detection, node countries in the network are divided into groups such that countries in each group are much more densely connected.

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Section: Introductionmentioning

confidence: 99%

Causality Analysis for COVID-19 among Countries Using Effective Transfer Entropy

Ünal

2022

Entropy

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Mathematical Modeling of Eicosanoid Metabolism in Macrophage Cells: Cybernetic Framework Combined with Novel Information-Theoretic Approaches

et al. 2023

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Cellular response to inflammatory stimuli leads to the production of eicosanoids—prostanoids (PRs) and leukotrienes (LTs)—and signaling molecules—cytokines and chemokines—by macrophages. Quantitative modeling of the inflammatory response is challenging owing to a lack of knowledge of the complex regulatory processes involved. Cybernetic models address these challenges by utilizing a well-defined cybernetic goal and optimizing a coarse-grained model toward this goal. We developed a cybernetic model to study arachidonic acid (AA) metabolism, which included two branches, PRs and LTs. We utilized a priori biological knowledge to define the branch-specific cybernetic goals for PR and LT branches as the maximization of TNFα and CCL2, respectively. We estimated the model parameters by fitting data from three experimental conditions. With these parameters, we were able to capture a novel fourth independent experimental condition as part of the model validation. The cybernetic model enhanced our understanding of enzyme dynamics by predicting their profiles. The success of the model implies that the cell regulates the synthesis and activity of the associated enzymes, through cybernetic control variables, to accomplish the chosen biological goal. The results indicated that the dominant metabolites are PGD2 (a PR) and LTB4 (an LT), aligning with their corresponding known prominent biological roles during inflammation. Using heuristic arguments, we also infer that eicosanoid overproduction can lead to increased secretion of cytokines/chemokines. This novel model integrates mechanistic knowledge, known biological understanding of signaling pathways, and data-driven methods to study the dynamics of eicosanoid metabolism.

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Rényi Transfer Entropy Estimators for Financial Time Series

Cited by 2 publications

References 16 publications

Causality Analysis for COVID-19 among Countries Using Effective Transfer Entropy

Causality Analysis for COVID-19 among Countries Using Effective Transfer Entropy

Mathematical Modeling of Eicosanoid Metabolism in Macrophage Cells: Cybernetic Framework Combined with Novel Information-Theoretic Approaches

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