Transfer Entropy Analysis of the Stock Market

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dc.creatorBaek, Seung Ki
dc.creatorJung, Woo-Sung
dc.creatorKwon, Okyu
dc.creatorMoon, Hie-Tae
dc.date2005-09-02
dc.date2005-09-29
dc.date.accessioned2026-07-07T12:07:38Z
dc.date.available2026-07-07T12:07:38Z
dc.descriptionIn 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.
dc.description10 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/physics/0509014
dc.identifierhttp://arxiv.org/abs/physics/0509014
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209036
dc.subjectPhysics and Society
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleTransfer Entropy Analysis of the Stock Market
dc.typetext

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