We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for the motion in time of the expected conditional second power moment. This interpretation is used to show how these models may be generalized, if we use alternative measures of...

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

The main goal of this article is to present a statistical study of decision tree learning algorithms based on the measures of different parametric entropies. Partial empirical evidence is presented to support the conjecture that the parameter adjusting of different entropy measures might bias...

This text was written as part of the project "Modelling of Complex Systems for Public Policy". It reviews the classical authors who jointly contributed to establish the elements of what could constitute a "science of complexity". Based on the original writings of these authors, the text...

This text was written as part of the project "Modelling of Complex Systems for Public Policy". It reviews the classical authors who jointly contributed to establish the elements of what could constitute a "science of complexity". Based on the original writings of these authors, the text...

Microsimulation models allow targeted simulations to analyze the impacts of alternative policies, measures, scenarios based on microunits like persons, families, households, firms etc. Meanwhile it is out of question that microsimulation models are a helpful, successful and an imperative...

This study investigates uncertainty levels of various industries and tries to determine financial ratios having the greatest information content in determining the set of industry characteristics. It then uses these ratios to develop industry specific financial distress models. First, we employ...

In exploring the question of how humans reason in ambiguous situations or in the absence of complete information, we stumbled onto a body of knowledge that addresses issues beyond the original scope of our effort. We have begun to understand the importance that philosophy, in particular the work...

Every individual channels information differently based on their preference of the sensory modality or representational system (visual auditory or kinesthetic) we tend to favor most (our primary representational system (PRS)). Therefore, some of us access and store our information primarily...

Executive discretion, the latitude for executives strategic decisions, is a powerful moderator of strategic decision making. In spite of its potential contribution to strategic management studies, Hambrick and Finkelstein's (1987) socio-political model of executive discretion has received little...