Transfer entropy between communities in complex networks
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mantegna,Rosario N. & Stanley,H. Eugene, 2007.
"Introduction to Econophysics,"
Cambridge Books,
Cambridge University Press, number 9780521039871, September.
- Mantegna,Rosario N. & Stanley,H. Eugene, 1999. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521620086.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Neto, José de Paula Neves & Figueiredo, Daniel Ratton, 2023. "Ranking influential and influenced stocks over time using transfer entropy networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chun-Xiao Nie, 2021. "Studying the correlation structure based on market geometry," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(2), pages 411-441, April.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019.
"Return spillovers around the globe: A network approach,"
Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
- Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl, 2015. "Return spillovers around the globe: A network approach," Papers 1507.06242, arXiv.org, revised Nov 2015.
- Park, Sangjin & Yang, Jae-Suk, 2021. "Relationships between capital flow and economic growth: A network analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
- Assaf Almog & Ferry Besamusca & Mel MacMahon & Diego Garlaschelli, 2015. "Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-16, July.
- L'ester Alfonso & Danahe E. Garcia-Ramirez & Ricardo Mansilla & C'esar A. Terrero-Escalante, 2020. "Analysis of intra-day fluctuations in the Mexican financial market index," Papers 2002.05697, arXiv.org.
- Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
- Liu, Chao & Fan, Yixin & Xie, Qiwei & Wang, Chao, 2022. "Market-based versus bank-based financial structure in China: From the perspective of financial risk," Structural Change and Economic Dynamics, Elsevier, vol. 62(C), pages 24-39.
- Alves, L.G.A. & Ribeiro, H.V. & Lenzi, E.K. & Mendes, R.S., 2014. "Empirical analysis on the connection between power-law distributions and allometries for urban indicators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 175-182.
- Muchnik, Lev & Bunde, Armin & Havlin, Shlomo, 2009. "Long term memory in extreme returns of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4145-4150.
- Zhang, Chao & Huang, Lu, 2010. "A quantum model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(24), pages 5769-5775.
- Cuniberti, Gianaurelio & Raberto, Marco & Scalas, Enrico, 1999.
"Correlations in the bond-future market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 90-97.
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 1999. "Correlations in the Bond-Future Market," Papers cond-mat/9903220, arXiv.org.
- Gianaurelio Cuniberti & Marco Raberto & Enrico Scalas, 2004. "Correlations in the Bond–Future Market," Finance 0411005, University Library of Munich, Germany.
- Michelle B Graczyk & Sílvio M Duarte Queirós, 2017. "Intraday seasonalities and nonstationarity of trading volume in financial markets: Collective features," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.
- Bertram, William K., 2005. "A threshold model for Australian Stock Exchange equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 561-576.
- Kutner, Ryszard & Wysocki, Krzysztof, 1999. "Applications of statistical mechanics to non-brownian random motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 67-84.
- Shapoval, A., 2010. "Prediction problem for target events based on the inter-event waiting time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5145-5154.
- Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
- Marc Potters & Jean-Philippe Bouchaud, 2002. "More statistical properties of order books and price impact," Science & Finance (CFM) working paper archive 0210710, Science & Finance, Capital Fund Management.
- Basnarkov, Lasko & Stojkoski, Viktor & Utkovski, Zoran & Kocarev, Ljupco, 2019.
"Correlation patterns in foreign exchange markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1026-1037.
- Lasko Basnarkov & Viktor Stojkoski & Zoran Utkovski & Ljupco Kocarev, 2019. "Correlation Patterns in Foreign Exchange Markets," Papers 1902.06483, arXiv.org, revised Feb 2019.
- Lee, Jae Woo & Eun Lee, Kyoung & Arne Rikvold, Per, 2006. "Multifractal behavior of the Korean stock-market index KOSPI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 355-361.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1706.05543. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.