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...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:	Royal Society Open Science
المؤلفون الرئيسيون:	Z. Keskin, T. Aste
التنسيق:	مقال
اللغة:	الإنجليزية
منشور في:	The Royal Society 2020-09-01
الموضوعات:	Granger causality transfer entropy information theory cryptocurrency
الوصول للمادة أونلاين:	https://royalsocietypublishing.org/doi/10.1098/rsos.200863

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