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

Official website: https://cran.r-project.org/web/packages/RTransferEntropy/index.html

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 (18)

• dtw
• Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story
• Randentropy: a software to measure inequality in random systems
• infotheo
• MuTE
• TRENTOOL
• JIDT
• entropart
• IDTxl
• mFLICA
• PyMaxEnt
• VLTimeCausality
• Information content of liquidity and volatility measures
• Dynamics of the price-volume information flow based on surrogate time series
• 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
• NlinTS

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