Comparison of transfer entropy methods for financial time series

DOI10.1016/j.physa.2017.04.089zbMath1495.91084OpenAlexW2607854259MaRDI QIDQ2147683

Pengjian Shang, Jiayi He

Publication date: 20 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.04.089

zbMATH Keywords

financial time seriesShannon entropytransfer entropyeffective transfer entropyeffective Rényi transfer entropyRényi transfer entropy

Mathematics Subject Classification ID

Economic time series analysis (91B84) Measures of information, entropy (94A17)

Related Items (6)

Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series ⋮ Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods ⋮ A complexity measure for heart rate signals ⋮ Information content of liquidity and volatility measures ⋮ PID: a PDF-induced distance based on permutation cross-distribution entropy ⋮ The impact of clean spark spread expectations on storage hydropower generation

Uses Software

• TRENTOOL

Cites Work

• A Mathematical Theory of Communication
• Effective transfer entropy approach to information flow between exchange rates and stock markets
• Source coding with escort distributions and Rényi entropy bounds
• A two-dimensional mapping with a strange attractor
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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