Comparison of transfer entropy methods for financial time series

DOI10.1016/J.PHYSA.2017.04.089MaRDI QIDQ2147683zbMATH OpenOpenAlexFDO

Authors Jiayi He, Pengjian Shang

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)

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Cites work

• scientific article; zbMATH DE number 3173999 (Why is no real title available?)
• scientific article; zbMATH DE number 3303655 (Why is no real title available?)
• scientific article; zbMATH DE number 3047450 (Why is no real title available?)
• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
• A Mathematical Theory of Communication
• A two-dimensional mapping with a strange attractor
• Analysis of financial time series
• Effective transfer entropy approach to information flow between exchange rates and stock markets
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Source coding with escort distributions and Rényi entropy bounds

Cited in

(15)

• Effective network inference through multivariate information transfer estimation
• A complexity measure for heart rate signals
• Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods
• 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
• Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
• Transfer entropy coefficient: quantifying level of information flow between financial time series
• The impact of clean spark spread expectations on storage hydropower generation
• Information flow and cross-correlation of chinese stock markets based on transfer entropy and DCCA
• Effective transfer entropy approach to information flow between exchange rates and stock markets
• Nonlinear transformation on the transfer entropy of financial time series
• Shortcomings of transfer entropy and partial transfer entropy: extending them to escape the curse of dimensionality
• Information content of liquidity and volatility measures
• PID: a PDF-induced distance based on permutation cross-distribution entropy

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Uses Software

• TRENTOOL

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