Comparison of transfer entropy methods for financial time series

DOI10.1016/J.PHYSA.2017.04.089zbMATH Open1495.91084OpenAlexW2607854259MaRDI QIDQ2147683FDOQ2147683

Pengjian Shang, Jiayi He

Publication date: 20 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.04.089

zbMATH Keywords

Shannon entropyfinancial time seriestransfer entropyeffective transfer entropyeffective Rényi transfer entropyRényi transfer entropy

Mathematics Subject Classification ID

Economic time series analysis (91B84) Measures of information, entropy (94A17)

Cites Work

• A Mathematical Theory of Communication
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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• A two-dimensional mapping with a strange attractor
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• Source coding with escort distributions and Rényi entropy bounds
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• Effective transfer entropy approach to information flow between exchange rates and stock markets

Cited In (9)

• PID: a PDF-induced distance based on permutation cross-distribution entropy
• Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
• Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods
• A complexity measure for heart rate signals
• Information content of liquidity and volatility measures
• The impact of clean spark spread expectations on storage hydropower generation
• Kernel change point detection based on convergent cross mapping
• The dynamics of price-volume information transfer in the cryptocurrency markets
• Using transfer entropy to measure information flows between financial markets

Uses Software

• TRENTOOL

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