Transfer entropy coefficient: Quantifying level of information flow between financial time series

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• 作者：Yue Teng ^{12271106@bjtu.edu.cn} ; Pengjian Shang
• 关键词：Transfer entropy coefficient ; Multiscale ; Financial market ; Information flow
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 March 2017
• 年：2017
• 卷：469
• 期：Complete
• 页码：60-70
• 全文大小：784 K
• 卷排序：469

文摘

A new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. We find that transfer entropy coefficient has superiority over transfer entropy. We know the measure of transfer entropy at different scales, which is corresponding to the relevant content of financial markets. We find that the direction of the information flow between two series may change with the increasing of the transfer entropy coefficient. We review that the change of transfer entropy coefficient is very complex.