Measuring the asymmetric contributions of individual subsystems

DOI10.1007/S11071-014-1503-1MaRDI QIDQ2353777zbMATH OpenOpenAlexFDO

Authors Xiaojun Zhao, Pengjian Shang, Jing Wang

Publication date 16 July 2015

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11071-014-1503-1

zbMATH Keywords

asymmetric contributionentropy ratetransfer entropy

Mathematics Subject Classification ID

Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Communication networks in operations research (90B18) Economic dynamics (91B55) Economic time series analysis (91B84) Measures of information, entropy (94A17)

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Cites work

• A tutorial on the cross-entropy method
• Cross-correlations between volume change and price change
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• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• scientific article; zbMATH DE number 1145169 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• METHODS FOR QUANTIFYING THE CAUSAL STRUCTURE OF BIVARIATE TIME SERIES
• Mutual information analysis: a comprehensive study
• Nonlinear Time Series Analysis
• Relative Entropy Measures of Multivariate Dependence

Cited in

(3)

• Transfer mutual information: A new method for measuring information transfer to the interactions of time series
• Permutation transition entropy: measuring the dynamical complexity of financial time series
• Multiscale transfer entropy: measuring information transfer on multiple time scales

Describes a project that uses

Uses Software

• IOTA

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