Noise and information in economic and financial systems

Rosario N. Mantegna

Rosario N. Mantegna (@rnmantegna) is professor at Palermo University and honorary professor at University College London. He is also member of the External Faculty of the Complexity Science Hub Vienna. He was postdoc at the MPI for Quantum Optics in Munich, and at Boston University. His research covers interdisciplinary applications of statistical physics. He is one of the pioneers in the fields of econophysics and economic and financial networks. Rosario has been principal investigator or member of several international and national research projects.

Abstract



I will first briefly introduce some basic concepts of Econophysics modelling of financial markets. I will therefore discuss the modeling of financial markets in terms of institutions performing information aggregation. Specifically, I will consider the nature and value of dispersed information that is aggregated in a market during the process of price discovery. As a case study, I will show the simultaneous presence of information and noise in multivariate return time series of stocks traded in a stock market and I will discuss some successful methods of information filtering. The complexity of the process of aggregation of information that is endogenous or exogenous to the market will be highlighted by considering the reaction of different categories of investors to market indicators and financial news. 



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