相关论文: Information flow networks of Chinese stock market …
The informational context is regularly questioned in a transitional economic regime like the one implemented in China or Vietnam. This article investigates this issue and the predictive power of fundamental analysis in such context and more…
The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period…
We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange…
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,…
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…
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the…
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…
This paper proposes an innovative Multi-Modal Transformer framework (MMF-Trans) designed to significantly improve the prediction accuracy of the Chinese stock market by integrating multi-source heterogeneous information including…
This is the first study to explore the transmission paths for liquidity shocks in China's segmented money market. We examine how money market transactions create such pathways between China's closely-guarded banking sector and the rest of…
Purpose of our work is to obtain a basic understanding and comparison of the performance and structure of real Knowledge Networks, to identify strengths and weaknesses and to highlight guidelines for improvements. We selected 18 Knowledge…
We consider discrete stochastic processes, modeled by classical master equations, on networks. The temporal growth of the lack of information about the system is captured by its non-equilibrium entropy, defined via the transition…
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
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…
Entropy is a classical measure to quantify the amount of information or complexity of a system. Various entropy-based measures such as functional and spectral entropies have been proposed in brain network analysis. However, they are less…
Whether the system under study is a shoal of fish, a collection of neurons, or a set of interacting atmospheric and oceanic processes, transfer entropy measures the flow of information between time series and can detect possible causal…
The insufficient understanding of the credit network structure was recognized as a key factor for regulators' underestimation of the destructive systematic risk during the financial crisis that started in 2007. The existing credit network…
Recent research has explored the increasingly important role of social media by examining the dynamics of individual and group behavior, characterizing patterns of information diffusion, and identifying influential individuals. In this…
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.…
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…