Rényi's Information Transfer between Financial Time Series

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F12%3A00190151" target="_blank" >RIV/68407700:21340/12:00190151 - isvavai.cz</a>

Výsledek na webu

<a href="http://arxiv.org/pdf/1106.5913.pdf" target="_blank" >http://arxiv.org/pdf/1106.5913.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2011.12.064" target="_blank" >10.1016/j.physa.2011.12.064</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Rényi's Information Transfer between Financial Time Series

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Rényi's Information Transfer between Financial Time Series

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

—

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and Its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

391

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

19

Strana od-do

2971-2989

Kód UT WoS článku

000301763600007

EID výsledku v databázi Scopus

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