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Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets

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  • Bekiros, Stelios
  • Nguyen, Duc Khuong
  • Sandoval Junior, Leonidas
  • Salah Uddin, Gazi

Abstract

This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships. A simulation analysis using randomized time series is also implemented to assess the impact of de-noising on the data dependence structure. We mainly show evidence of emphasized disparity of correlation and entropy-based centrality measurements for all markets between pre- and post-crisis periods. Our results enable the robust mapping of network influences and contagion effects whilst incorporating agent expectations.

Suggested Citation

  • Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Salah Uddin, Gazi, 2015. "Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets," MPRA Paper 73397, University Library of Munich, Germany, revised Feb 2016.
    • Handle: RePEc:pra:mprapa:73397
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    More about this item

    Keywords

    Finance; commodity markets; correlation; transfer entropy; complex network; centrality;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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