Transfer Entropy Analysis of the Stock Market

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In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones can be found and also the market leading companies are selected. Our entropy analysis shows that the companies related with energy industries such as oil, gas, and electricity influence the whole market.
10 pages, 3 figures

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Physics and Society, Statistical Mechanics, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/209036

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0509014
 http://arxiv.org/abs/physics/0509014

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arXiv