• Venue: Conservatorio di Santa Chiara, San Miniato, Italy
• Topics: Information theory, chaos and ergodicity with application to data analysis

Syllabus of the course

• Information theory and Shannon entropy
• Symbolization of time-series and of dynamical systems
• Ergodicity
• Invariant measures arising from time series and entropy computation
• Entropic measures in data analysis
• Transfer entropy, redundancy and n-gram entropy in symbolic series
• Kullback-Leibler distance for multivariate series
• Maximum entropy principle for ensembles and networks
• Applications in Economics and Finance

Topics considered prerequisite for the course

Basic notions of probability, statistics and dynamical systems. A working knowledge of some high-level programming language (e.g. mathematica, matlab, octave, R, etc.) will be useful for some assignments.