Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 482, Issue -, Pages 772-785Publisher
ELSEVIER
DOI: 10.1016/j.physa.2017.04.089
Keywords
Financial time series; Shannon entropy; Transfer entropy; Effective transfer entropy; Renyi transfer entropy; Effective Renyi transfer entropy
Categories
Funding
- China National Science [61371130]
- Beijing National Science [4162047]
- China Postdoctoral Science Foundation [B16M00090]
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There is a certain relationship between the global financial markets, which creates an interactive network of global finance. Transfer entropy, a measurement for information transfer, offered a good way to analyse the relationship. In this paper, we analysed the relationship between 9 stock indices from the U.S., Europe and China (from 1995 to 2015) by using transfer entropy (TE), effective transfer entropy (ETE), Renyi transfer entropy (RTE) and effective Renyi transfer entropy (ERTE). We compared the four methods in the sense of the effectiveness for identification of the relationship between stock markets, In this paper, two kinds of information flows are given. One reveals that the U.S. took the leading position when in terms of lagged-current cases, but when it comes to the same date, China is the most influential. And ERTE could provide superior results. (C) 2017 Elsevier B.V. All rights reserved.
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