Dynamics of the price-volume information flow based on surrogate time series

DOI10.1063/5.0024375MaRDI QIDQ4983646zbMATH OpenOpenAlexFDO

Authors Chun-Xiao Nie

Publication date 26 April 2021

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/5.0024375

Mathematics Subject Classification ID

Economic time series analysis (91B84) Financial applications of other theories (91G80)

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Cites work

• Applied nonlinear time series analysis. Applications in physics, physiology and finance.
• Cross-correlations between volume change and price change
• Effective transfer entropy approach to information flow between exchange rates and stock markets
• Surrogate data for hypothesis testing of physical systems
• Testing for nonlinearity in time series: the method of surrogate data
• Using transfer entropy to measure information flows between financial markets

Cited in

(2)

• Erratum: “Dynamics of the price-volume information flow based on surrogate time series” [Chaos 31(1), 013106 (2021)]
• An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications

Describes a project that uses

Uses Software

• RTransferEntropy
• Matlab

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