Synergistic Information Transfer in the Global System of Financial Markets
Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the...
Main Authors: | Tomas Scagliarini, Luca Faes, Daniele Marinazzo, Sebastiano Stramaglia, Rosario N. Mantegna |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-09-01
|
Series: | Entropy |
Subjects: | |
Online Access: | https://www.mdpi.com/1099-4300/22/9/1000 |
Similar Items
-
Multiscale Information Decomposition: Exact Computation for Multivariate Gaussian Processes
by: Luca Faes, et al.
Published: (2017-08-01) -
Quantifying Synergistic Information Using Intermediate Stochastic Variables †
by: Rick Quax, et al.
Published: (2017-02-01) -
Multiscale Information Decomposition Dissects Control Mechanisms of Heart Rate Variability at Rest and During Physiological Stress
by: Jana Krohova, et al.
Published: (2019-05-01) -
On the interpretability and computational reliability of frequency-domain Granger causality [version 1; referees: 2 approved]
by: Luca Faes, et al.
Published: (2017-09-01) -
Structural models for the pricing of corporate securities and financial synergies. Applications with stochastic processes including arithmetic Brownian motion.
by: Arikan, Ali F.
Published: (2012)