Related papers: Information flow between stock indices
Information flow between components of a system takes many forms and is key to understanding the organization and functioning of large-scale, complex systems. We demonstrate three modalities of information flow from time series X to time…
In this paper we propose a novel index to quantify and measure the flow of information on macro and micro scales. We discuss the implications of this index for knowledge management fields and also as intellectual capital that can thus be…
Understanding information processing in the brain requires the ability to determine the functional connectivity between the different regions of the brain. We present a method using transfer entropy to extract this flow of information…
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling…
We theoretically investigate how information flows when two particles interact with each other. Understanding the physical mechanisms of directional information flow is crucial for advancing information thermodynamics and stochastic…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
Whether heterogeneous investor flows transmit private information across stocks or merely reflect coordinated responses to public signals remains an open question in market microstructure. We construct Transfer Entropy (TE) networks from…
The transfer entropy is a well-established measure of information flow, which quantifies directed influence between two stochastic time series and has been shown to be useful in a variety fields of science. Here we introduce the transfer…
The direct role of successive intense magnetospheric substorms in injecting/energizing particles into the storm-time ring current is still debated and controversial. Whereas in the recent past it has been observed the absence of a net…
The concepts of information transfer and causal effect have received much recent attention, yet often the two are not appropriately distinguished and certain measures have been suggested to be suitable for both. We discuss two existing…
We follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those…
A central task in analyzing complex dynamics is to determine the loci of information storage and the communication topology of information flows within a system. Over the last decade and a half, diagnostics for the latter have come to be…
About two million U.S. corporations and partnerships are linked to each other and human investors by about 15 million owner-subsidiary links. Comparable social networks such as corporate board memberships and socially-built systems such as…
In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level…
Interaction networks, consisting of agents linked by their interactions, are ubiquitous across many disciplines of modern science. Many methods of analysis of interaction networks have been proposed, mainly concentrating on node degree…
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index,…
Probability distributions of money, income, and energy consumption per capita are studied for ensembles of economic agents. The principle of entropy maximization for partitioning of a limited resource gives exponential distributions for the…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…