Transfer Entropy between Communities in Complex Financial Networks

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F19%3A00336019" target="_blank" >RIV/68407700:21340/19:00336019 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.3390/e21111124" target="_blank" >https://doi.org/10.3390/e21111124</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/e21111124" target="_blank" >10.3390/e21111124</a>

Result language
angličtina
Original language name
Transfer Entropy between Communities in Complex Financial Networks
Original language description
In this paper, we analyze information flows between communities of financial markets, represented as complex networks. Each community, typically corresponding to a business sector, represents a significant part of the financial market and the detection of interactions between communities is crucial in the analysis of risk spreading in the financial markets. We show that the transfer entropy provides a coherent description of information flows in and between communities, also capturing non-linear interactions. Particularly, we focus on information transfer of rare events-typically large drops which can spread in the network. These events can be analyzed by Renyi transfer entropy, which enables to accentuate particular types of events. We analyze transfer entropies between communities of the five largest financial markets and compare the information flows with the correlation network of each market. From the transfer entropy picture, we can also identify the non-linear interactions, which are typical in the case of extreme events. The strongest flows can be typically observed between specific types of business sectors-financial sectors is the most significant example.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA19-16066S" target="_blank" >GA19-16066S: Nonlinear interactions and information transfer in complex systems with extreme events</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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