Transfer entropy coefficient: quantifying level of information flow between financial time series

DOI10.1016/J.PHYSA.2016.11.061MaRDI QIDQ1620359zbMATH OpenOpenAlexFDO

Authors Yue Teng, Pengjian Shang

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2016.11.061

zbMATH Keywords

multiscaleinformation flowfinancial markettransfer entropy coefficient

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Multiscale transfer entropy: measuring information transfer on multiple time scales
• Using transfer entropy to measure information flows between financial markets
• Comparison of transfer entropy methods for financial time series
• Nonlinear transformation on the transfer entropy of financial time series
• Modeling the flow of information between financial time-series by an entropy-based approach

Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Cross-correlations between volume change and price change
• Fractional differencing
• Linearized transfer entropy for continuous second order systems
• Long memory relationships and the aggregation of dynamic models
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Modeling traffic flow correlation using DFA and DCCA
• The Liang-Kleeman information flow: theory and applications
• Time series properties of an artificial stock market
• Transfer entropy -- a model-free measure of effective connectivity for the neurosciences
• Transfer entropy for coupled autoregressive processes
• Using transfer entropy to measure information flows between financial markets
• Weighted multifractal cross-correlation analysis based on Shannon entropy

Cited in

(10)

• Dynamics of the price-volume information flow based on surrogate time series
• Using transfer entropy to measure information flows between financial markets
• Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
• Characterizing the statistical complexity of nonlinear time series via ordinal pattern transition networks
• Multiscale fractional-order approximate entropy analysis of financial time series based on the cumulative distribution matrix
• Comparison of transfer entropy methods for financial time series
• Modeling the flow of information between financial time-series by an entropy-based approach
• Effective transfer entropy approach to information flow between exchange rates and stock markets
• Multiscale transfer entropy: measuring information transfer on multiple time scales
• Nonlinear transformation on the transfer entropy of financial time series

This page was built for publication: Transfer entropy coefficient: quantifying level of information flow between financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1620359)