Related papers: Information flow between stock indices
Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the…
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of…
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…
Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper…
We empirically investigated the effects of market factors on the information flow created from N(N-1)/2 linkage relationships among stocks. We also examined the possibility of employing the minimal spanning tree (MST) method, which is…
This article investigates the information flow between 13 Green Bond ETFs (Exchange Traded Funds) from three global markets: the USA, Canada,and Europe, between 2021 and 2022. We used the transfer entropy and effective transfer entropy…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
With the help of transfer entropy, we analyze information flows between communities of complex networks. We show that the transfer entropy provides a coherent description of interactions between communities, including non-linear…
In this paper, we quantify the statistical coherence between financial time series by means of the Renyi entropy. With the help of Campbell's coding theorem we show that the Renyi entropy selectively emphasizes only certain sectors of the…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…
Phase transitions abound in nature and society, and, from species extinction to stock market collapse, their prediction is of widespread importance. In earlier work we showed that Global Transfer Entropy, a general measure of information…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of…
Investor sentiment reflects the collective attitude of investors towards the asset, whether positive, negative or neutral. Market information, such as news and relevant social media posts, plays a significant role in shaping investor…
It is generally accepted that, when moving in groups, animals process information to coordinate their motion. Recent studies have begun to apply rigorous methods based on Information Theory to quantify such distributed computation.…
We quantify the propagation and absorption of large-scale publicly available news articles from the World Wide Web to financial markets. To extract publicly available information, we use the news archives from the Common Crawl, a nonprofit…
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor, the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…