Rényi's Information Transfer between Financial Time Series
Result description
n this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell's coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Rényi's parameter q. To tackle the issue of the information flow between time series, we formulate the concept of Rényi's transfer entropy as a measure of information that is transferred only between certain parts of underlying distributions. This is particularly pertinent in financial time series, where the knowledge of marginal events such as spikes or sudden jumps is of a crucial importance. We apply the Rényian information flow to stock market time series from 11 world stock indices as sampled at a daily rate in the time period 02.01.1990-31.12.2009.
Keywords
EconophysicsRényi entropyInformation transferFinancial time series
The result's identifiers
Result code in IS VaVaI
Result on the web
DOI - Digital Object Identifier
Alternative languages
Result language
angličtina
Original language name
Rényi's Information Transfer between Financial Time Series
Original language description
n this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell's coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Rényi's parameter q. To tackle the issue of the information flow between time series, we formulate the concept of Rényi's transfer entropy as a measure of information that is transferred only between certain parts of underlying distributions. This is particularly pertinent in financial time series, where the knowledge of marginal events such as spikes or sudden jumps is of a crucial importance. We apply the Rényian information flow to stock market time series from 11 world stock indices as sampled at a daily rate in the time period 02.01.1990-31.12.2009.
Czech name
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Czech description
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Classification
Type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica A: Statistical Mechanics and Its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
391
Issue of the periodical within the volume
7
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
19
Pages from-to
2971-2989
UT code for WoS article
000301763600007
EID of the result in the Scopus database
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Result type
Jx - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP
BA - General mathematics
Year of implementation
2012