Information-theoretic measures for nonlinear causality detection: application to social media sentiment and cryptocurrency prices

Information transfer between time series is calculated using the asymmetric information-theoretic measure known as transfer entropy. Geweke’s autoregressive formulation of Granger causality is used to compute linear transfer entropy, and Schreiber’s general, non-parametric, information-theoretic for...

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Bibliographic Details

Published in:	Royal Society Open Science
Main Authors:	Z. Keskin, T. Aste
Format:	Article
Language:	English
Published:	The Royal Society 2020-09-01
Subjects:	Granger causality transfer entropy information theory cryptocurrency
Online Access:	https://royalsocietypublishing.org/doi/10.1098/rsos.200863