Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 387, Issue 12, Pages 2851-2856Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2008.01.007
Keywords
transfer entropy; information flow; econophysics; stock market
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We investigate the strength and the direction of information transfer in the US stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market. (C) 2008 Elsevier B.V. All rights reserved.
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