4.7 Article

Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Mathematics, Interdisciplinary Applications

Stable versus fragile community structures in the correlation dynamics of Chinese industry indices

Chun-Xiao Nie et al.

Summary: This study examines the correlation dynamics of the Chinese market based on time series data of industry indices. Linear and nonlinear dependencies are analyzed using PCC and MIC, respectively. The influence-strength analysis shows that linear dependencies are more closely associated with major events. The structure of the correlation networks is analyzed from both short-term and long-term perspectives.

CHAOS SOLITONS & FRACTALS (2023)

Article Physics, Multidisciplinary

Analysis of critical events in the correlation dynamics of cryptocurrency market

Chun-Xiao Nie

Summary: This study analyzes critical events and correlation dynamics in the cryptocurrency market using a network method and influence strength, revealing the relationship between correlation and market states, as well as a positive correlation between changes in correlation and changes in network structure. By examining networks around January 6, 2021, the study demonstrates local and drastic changes in correlation structure.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2022)

Article Statistics & Probability

Effective transfer entropy to measure information flows in credit markets

Nicolo Andrea Caserini et al.

Summary: This paper studies the dynamics of financial contagion between the credit default swap (CDS) and sovereign bond markets using effective transfer entropy. The results show that the bond market plays a significant role in pricing sovereign credit risk, especially during crisis periods. Some countries, such as Spain and the Netherlands, behave differently from others in the post-crisis period.

STATISTICAL METHODS AND APPLICATIONS (2022)

Article Physics, Multidisciplinary

Dynamics of Information Flow between the Chinese A-Share Market and the US Stock Market: From the 2008 Crisis to the COVID-19 Pandemic Period

Chun-Xiao Nie et al.

Summary: This paper uses transfer entropy and local random permutation surrogates to analyze the information flow dynamics between the Chinese market and the US market, providing a detailed analysis of their relationship. It finds an asymmetric information flow, with the US market significantly affecting the Chinese market. The study also reveals that the intensity of information flow changes with major events.

ENTROPY (2022)

Article Mathematics, Applied

Dynamics of the price-volume information flow based on surrogate time series

Chun-Xiao Nie

Summary: This paper utilizes transfer entropy and surrogates to examine the information flow between price and transaction volume, revealing stronger information flow during stock bubble bursts or financial crises and presenting a new approach to analyzing the price-volume relationship.
Article Economics

Nonlinearity matters: The stock price - trading volume relation revisited

Simon Behrendt et al.

Summary: This paper investigates the information transfer in the relation between stock prices and trading volume, finding a substantial amount of nonlinear information transfer across stocks, predominantly flowing from returns to trading volume growth.

ECONOMIC MODELLING (2021)

Article Business, Finance

Transfer Entropy Approach for Portfolio Optimization: An Empirical Approach for CESEE Markets

Tihana Skrinjaric et al.

Summary: This paper explores the possibility of using econophysics concepts in dynamic portfolio optimization, showing that combining different methodological aspects can enhance portfolio performance. By modeling entropy transfers from one return series to others and utilizing these results in simulating portfolio strategies, it is found that using entropy transfers in portfolio construction and rebalancing has the potential to achieve better portfolio value compared to benchmark strategies over time.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2021)

Article Physics, Multidisciplinary

Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis

Chun-Xiao Nie

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2020)

Article Mathematics, Interdisciplinary Applications

THE DYNAMICS OF PRICE-VOLUME INFORMATION TRANSFER IN THE CRYPTOCURRENCY MARKETS

Jinglan Zheng et al.

ADVANCES IN COMPLEX SYSTEMS (2020)

Article Computer Science, Information Systems

Information Flow Networks of Chinese Stock Market Sectors

Peng Yue et al.

IEEE ACCESS (2020)

Article Physics, Multidisciplinary

Group transfer entropy with an application to cryptocurrencies

Thomas Dimpfl et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2019)

Article Computer Science, Software Engineering

RTransferEntropy - Quantifying information flow between different time series using effective transfer entropy

Simon Behrendt et al.

SOFTWAREX (2019)

Article Business, Finance

Further insights on the relationship between SP500, VIX and volume: a new asymmetric causality test1

Catherine Kyrtsou et al.

EUROPEAN JOURNAL OF FINANCE (2019)

Article Multidisciplinary Sciences

Measuring critical transitions in financial markets

Jan Jurczyk et al.

SCIENTIFIC REPORTS (2017)

Article Physics, Multidisciplinary

Information transfer network of global market indices

Yup Kim et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2015)

Article Business, Finance

A study of linkages between frontier markets and the U.S. equity markets using multivariate GARCH and transfer entropy

Mary Schmid Daugherty et al.

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT (2015)

Article Mathematics, Interdisciplinary Applications

Effective transfer entropy approach to information flow between exchange rates and stock markets

Ahmet Sensoy et al.

CHAOS SOLITONS & FRACTALS (2014)

Article Physics, Multidisciplinary

Analysis of linkage effects among industry sectors in China's stock market before and after the financial crisis

Rui Yang et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2014)

Article Business, Finance

Estimating correlation and covariance matrices by weighting of market similarity

M. C. Muennix et al.

QUANTITATIVE FINANCE (2014)

Article Business, Finance

The impact of the financial crisis on transatlantic information flows: An intraday analysis

Thomas Dimpfl et al.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY (2014)

Article Physics, Multidisciplinary

Renyi's information transfer between financial time series

Petr Jizba et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2012)

Article Multidisciplinary Sciences

Identifying States of a Financial Market

Michael C. Muennix et al.

SCIENTIFIC REPORTS (2012)

Article Business, Finance

A network perspective of the stock market

Chi K. Tse et al.

JOURNAL OF EMPIRICAL FINANCE (2010)

Article Physics, Multidisciplinary

Information flow between stock indices

O. Kwon et al.

Article Physics, Multidisciplinary

Information flow between composite stock index and individual stocks

Okyu Kwon et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2008)

Article Physics, Multidisciplinary

Complex network-based time series analysis

Yue Yang et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2008)

Article Computer Science, Interdisciplinary Applications

Statistical analysis of financial networks

V Boginski et al.

COMPUTATIONAL STATISTICS & DATA ANALYSIS (2005)

Article Physics, Condensed Matter

Analysing the information flow between financial time series - An improved estimator for transfer entropy

R Marschinski et al.

EUROPEAN PHYSICAL JOURNAL B (2002)

Article Physics, Multidisciplinary

Measuring information transfer

T Schreiber

PHYSICAL REVIEW LETTERS (2000)