arXiv subjects

Osvaldo A. Rosso

Publications and source records attributed to Osvaldo A. Rosso.

30 records · Page 2Linked to original sources

arXiv2015

A permutation Information Theory tour through different interest rate maturities: the Libor case

This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2001 to 2015. The analysis is performed by means of two quantifiers derived from Information Theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behavior in the Libor is detected in all currencies except Euro during the years 2006--2012. The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the special mechanism of Libor setting, we conjecture that the behavior could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.

q-fin.ST↗

arXiv2015

The (in)visible hand in the Libor market: an Information Theory approach

This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality plane. This representation is able to classify different stochastic and chaotic regimes in time series. We use sliding temporal windows to assess changes in the intrinsic stochastic dynamics of the time series. Anomalous behavior in the Libor is detected, especially around the time of the last financial crisis, that could be consistent with data manipulation.

q-fin.ST↗

arXiv2014

The Generalized Statistical Complexity of PolSAR Data

This paper presents and discusses the use of a new feature for PolSAR imagery: the Generalized Statistical Complexity. This measure is able to capture the disorder of the data by means of the entropy, as well as its departure from a reference distribution. The latter component is obtained by measuring a stochastic distance between two models: the $\mathcal G^0$ and the Gamma laws. Preliminary results on the intensity components of AIRSAR image of San Francisco are encouraging.

cs.IT↗

arXiv2014

Efficiency characterization of a large neuronal network: a causal information approach

When inhibitory neurons constitute about 40% of neurons they could have an important antinociceptive role, as they would easily regulate the level of activity of other neurons. We consider a simple network of cortical spiking neurons with axonal conduction delays and spike timing dependent plasticity, representative of a cortical column or hypercolumn with large proportion of inhibitory neurons. Each neuron fires following a Hodgkin-Huxley like dynamics and it is interconnected randomly to other neurons. The network dynamics is investigated estimating Bandt and Pompe probability distribution function associated to the interspike intervals and taking different degrees of inter-connectivity across neurons. More specifically we take into account the fine temporal ``structures'' of the complex neuronal signals not just by using the probability distributions associated to the inter spike intervals, but instead considering much more subtle measures accounting for their causal information: the Shannon permutation entropy, Fisher permutation information and permutation statistical complexity. This allows us to investigate how the information of the system might saturate to a finite value as the degree of inter-connectivity across neurons grows, inferring the emergent dynamical properties of the system.

q-bio.NC↗

arXiv2014

Distinguishing noise from chaos: objective versus subjective criteria using Horizontal Visibility Graph

A recently proposed methodology called the Horizontal Visibility Graph (HVG) [Luque {\it et al.}, Phys. Rev. E., 80, 046103 (2009)] that constitutes a geometrical simplification of the well known Visibility Graph algorithm [Lacasa {\it et al.\/}, Proc. Natl. Sci. U.S.A. 105, 4972 (2008)], has been used to study the distinction between deterministic and stochastic components in time series [L. Lacasa and R. Toral, Phys. Rev. E., 82, 036120 (2010)]. Specifically, the authors propose that the node degree distribution of these processes follows an exponential functional of the form $P(κ)\sim \exp(-λ~κ)$, in which $κ$ is the node degree and $λ$ is a positive parameter able to distinguish between deterministic (chaotic) and stochastic (uncorrelated and correlated) dynamics. In this work, we investigate the characteristics of the node degree distributions constructed by using HVG, for time series corresponding to $28$ chaotic maps and $3$ different stochastic processes. We thoroughly study the methodology proposed by Lacasa and Toral finding several cases for which their hypothesis is not valid. We propose a methodology that uses the HVG together with Information Theory quantifiers. An extensive and careful analysis of the node degree distributions obtained by applying HVG allow us to conclude that the Fisher-Shannon information plane is a remarkable tool able to graphically represent the different nature, deterministic or stochastic, of the systems under study.

stat.ML↗

arXiv2013

Structural Changes in Data Communication in Wireless Sensor Networks

Wireless sensor networks are an important technology for making distributed autonomous measures in hostile or inaccessible environments. Among the challenges they pose, the way data travel among them is a relevant issue since their structure is quite dynamic. The operational topology of such devices can often be described by complex networks. In this work, we assess the variation of measures commonly employed in the complex networks literature applied to wireless sensor networks. Four data communication strategies were considered: geometric, random, small-world, and scale-free models, along with the shortest path length measure. The sensitivity of this measure was analyzed with respect to the following perturbations: insertion and removal of nodes in the geometric strategy; and insertion, removal and rewiring of links in the other models. The assessment was performed using the normalized Kullback-Leibler divergence and Hellinger distance quantifiers, both deriving from the Information Theory framework. The results reveal that the shortest path length is sensitive to perturbations.

physics.data-an↗

arXiv2012

Generalized Statistical Complexity of SAR Imagery

A new generalized Statistical Complexity Measure (SCM) was proposed by Rosso et al in 2010. It is a functional that captures the notions of order/disorder and of distance to an equilibrium distribution. The former is computed by a measure of entropy, while the latter depends on the definition of a stochastic divergence. When the scene is illuminated by coherent radiation, image data is corrupted by speckle noise, as is the case of ultrasound-B, sonar, laser and Synthetic Aperture Radar (SAR) sensors. In the amplitude and intensity formats, this noise is multiplicative and non-Gaussian requiring, thus, specialized techniques for image processing and understanding. One of the most successful family of models for describing these images is the Multiplicative Model which leads, among other probability distributions, to the G0 law. This distribution has been validated in the literature as an expressive and tractable model, deserving the "universal" denomination for its ability to describe most types of targets. In order to compute the statistical complexity of a site in an image corrupted by speckle noise, we assume that the equilibrium distribution is that of fully developed speckle, namely the Gamma law in intensity format, which appears in areas with little or no texture. We use the Shannon entropy along with the Hellinger distance to measure the statistical complexity of intensity SAR images, and we show that it is an expressive feature capable of identifying many types of targets.

cs.IT↗

arXiv2011

Noisy-chaotic time series and the forbidden/missing patterns paradigm

We deal here with the issue of determinism versus randomness in time series. One wishes to identify their relative importance in a given time series. To this end we extend i) the use of ordinal patterns-based probability distribution functions associated with a time series [Bandt and Pompe, Phys. Rev. Lett. 88 (2002) 174102] and ii) the so-called Amigó paradigm of forbidden/missing patterns [Amigó, Zambrano, Sanjuán, Europhys. Lett. 79 (2007) 50001], to analyze deterministic finite time series contaminated with strong additive noises of different correlation-degree. Insights pertaining to the deterministic component of the original time series are obtained with the help of the causal entropy-complexity plane [Rosso et al. Phys. Rev. Lett. 99 (2007) 154102].

cond-mat.stat-mech↗

arXiv2011

Causality and the Entropy-Complexity Plane: Robustness and Missing Ordinal Patterns

We deal here with the issue of determinism versus randomness in time series. One wishes to identify their relative weights in a given time series. Two different tools have been advanced in the literature to such effect, namely, i) the "causal" entropy-complexity plane [Rosso et al. Phys. Rev. Lett. 99 (2007) 154102] and ii) the estimation of the decay rate of missing ordinal patterns [Amigó et al. Europhys. Lett. 79 (2007) 50001, and Carpi et al. Physica A 389 (2010) 2020-2029]. In this work we extend the use of these techniques to address the analysis of deterministic finite time series contaminated with additive noises of different degree of correlation. The chaotic series studied here was via the logistic map (r = 4) to which we added correlated noise (colored noise with f-k Power Spectrum, 0 {\leq} k {\leq} 2) of varying amplitudes. In such a fashion important insights pertaining to the deterministic component of the original time series can be gained. We find that in the entropy-complexity plane this goal can be achieved without additional computations.

cond-mat.stat-mech↗

arXiv2005

Characterization of laser propagation through turbulent media by quantifiers based on the wavelet transform: dynamic study

We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 (2004) 223) two quantifiers are used, the Hurst parameter, $H$, and the Normalized Total Wavelet Entropy, $\text{NTWS}$. The temporal evolution of both quantifiers, obtained from the laser spot data stream is studied and compared. This allows us to extract information of the stochastic process associated to the turbulence dynamics.

physics.ao-ph↗

arXiv2005

Wavelet entropy and fractional Brownian motion time series

We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time series--these series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes (Fractals 12 (2004) 223). The aim of this work is understand the differences in the information obtained from them, if any.

physics.data-an↗

arXiv2004

Characterization of Laser Propagation Through Turbulent Media by Quantifiers Based on the Wavelet Transform

The propagation of a laser beam through turbulent media is modeled as a fractional Brownian motion (fBm). Time series corresponding to the center position of the laser spot (coordinates x and y) after traveling across air in turbulent motion, with different strength, are analyzed by the wavelet theory. Two quantifiers are calculated, the Hurst exponent and the mean Normalized Total Wavelet Entropy. It is verified that both quantifiers gives complementary information about the turbulence state.

nlin.CD↗