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

DOI10.1016/j.physa.2016.11.061zbMath1400.62239OpenAlexW2555619973MaRDI QIDQ1620359

Pengjian Shang, Yue Teng

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)

Related Items (2)

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

Cites Work

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• Linearized transfer entropy for continuous second order systems
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• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Using transfer entropy to measure information flows between financial markets

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