Time-dependent complexity measurement of causality in international equity markets: a spatial approach

DOI10.1016/J.CHAOS.2018.09.030MaRDI QIDQ2201357zbMATH OpenOpenAlexWikidataFDO

Authors Salim Lahmiri, Christos Avdoulas, Stelios D. Bekiros

Publication date 29 September 2020

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2018.09.030

zbMATH Keywords

DFAentropyGranger causalityLempel-Ziv complexitystock markets

Mathematics Subject Classification ID

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Cites work

• A Mathematical Theory of Communication
• Chaos, randomness and multi-fractality in bitcoin market
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Disturbances and complexity in volatility time series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• On the Complexity of Finite Sequences

Cited in

(5)

• Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
• The emergence of temporal correlations in a study of global economic interdependence
• An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications
• A statistical test of market efficiency based on information theory
• Detection of information flow in major international financial markets by interactivity network analysis

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