Transfer Entropy Analysis of the Stock Market
Physics and Society
2008-12-02 v2 Statistical Mechanics
Statistical Finance
Abstract
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones can be found and also the market leading companies are selected. Our entropy analysis shows that the companies related with energy industries such as oil, gas, and electricity influence the whole market.
Cite
@article{arxiv.physics/0509014,
title = {Transfer Entropy Analysis of the Stock Market},
author = {Seung Ki Baek and Woo-Sung Jung and Okyu Kwon and Hie-Tae Moon},
journal= {arXiv preprint arXiv:physics/0509014},
year = {2008}
}
Comments
10 pages, 3 figures