RTransferEntropy

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Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy

Simon Behrendt, Franziska Peter, Thomas Dimpfl, David Zimmermann

Last update: 1 February 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.2.21

Source code repository: https://github.com/cran/RTransferEntropy

Cites work

• Using transfer entropy to measure information flows between financial markets
• The impact of the financial crisis on transatlantic information flows: An intraday analysis

Cited In (8)

• Randentropy: A Software to Measure Inequality in Random Systems
• Dynamics of the price–volume information flow based on surrogate time series
• Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story
• VLTimeCausality
• Information content of liquidity and volatility measures
• The impact of clean spark spread expectations on storage hydropower generation
• Theory and applications of financial chaos index
• Effective transfer entropy to measure information flows in credit markets

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