Transfer entropy coefficient: Quantifying level of information flow between financial time series
In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer ent...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Teng, Yue [verfasserIn] |
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E-Artikel |
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Englisch |
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2017transfer abstract |
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11 |
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Enthalten in: Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study - Dai, Jiamiao ELSEVIER, 2022, europhysics journal, Amsterdam |
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| Übergeordnetes Werk: |
volume:469 ; year:2017 ; day:1 ; month:03 ; pages:60-70 ; extent:11 |
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10.1016/j.physa.2016.11.061 |
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| 520 | |a In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. | ||
| 520 | |a In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. | ||
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10.1016/j.physa.2016.11.061 doi GBV00000000000119A.pica (DE-627)ELV020273541 (ELSEVIER)S0378-4371(16)30867-6 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Teng, Yue verfasserin aut Transfer entropy coefficient: Quantifying level of information flow between financial time series 2017transfer abstract 11 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. Information flow Elsevier Transfer entropy coefficient Elsevier Financial market Elsevier Multiscale Elsevier Shang, Pengjian oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:469 year:2017 day:1 month:03 pages:60-70 extent:11 https://doi.org/10.1016/j.physa.2016.11.061 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 469 2017 1 0301 60-70 11 045F 500 |
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10.1016/j.physa.2016.11.061 doi GBV00000000000119A.pica (DE-627)ELV020273541 (ELSEVIER)S0378-4371(16)30867-6 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Teng, Yue verfasserin aut Transfer entropy coefficient: Quantifying level of information flow between financial time series 2017transfer abstract 11 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. Information flow Elsevier Transfer entropy coefficient Elsevier Financial market Elsevier Multiscale Elsevier Shang, Pengjian oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:469 year:2017 day:1 month:03 pages:60-70 extent:11 https://doi.org/10.1016/j.physa.2016.11.061 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 469 2017 1 0301 60-70 11 045F 500 |
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10.1016/j.physa.2016.11.061 doi GBV00000000000119A.pica (DE-627)ELV020273541 (ELSEVIER)S0378-4371(16)30867-6 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Teng, Yue verfasserin aut Transfer entropy coefficient: Quantifying level of information flow between financial time series 2017transfer abstract 11 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. Information flow Elsevier Transfer entropy coefficient Elsevier Financial market Elsevier Multiscale Elsevier Shang, Pengjian oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:469 year:2017 day:1 month:03 pages:60-70 extent:11 https://doi.org/10.1016/j.physa.2016.11.061 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 469 2017 1 0301 60-70 11 045F 500 |
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10.1016/j.physa.2016.11.061 doi GBV00000000000119A.pica (DE-627)ELV020273541 (ELSEVIER)S0378-4371(16)30867-6 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Teng, Yue verfasserin aut Transfer entropy coefficient: Quantifying level of information flow between financial time series 2017transfer abstract 11 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. Information flow Elsevier Transfer entropy coefficient Elsevier Financial market Elsevier Multiscale Elsevier Shang, Pengjian oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:469 year:2017 day:1 month:03 pages:60-70 extent:11 https://doi.org/10.1016/j.physa.2016.11.061 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 469 2017 1 0301 60-70 11 045F 500 |
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10.1016/j.physa.2016.11.061 doi GBV00000000000119A.pica (DE-627)ELV020273541 (ELSEVIER)S0378-4371(16)30867-6 DE-627 ger DE-627 rakwb eng 500 500 DE-600 610 VZ 44.91 bkl Teng, Yue verfasserin aut Transfer entropy coefficient: Quantifying level of information flow between financial time series 2017transfer abstract 11 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. Information flow Elsevier Transfer entropy coefficient Elsevier Financial market Elsevier Multiscale Elsevier Shang, Pengjian oth Enthalten in North Holland Publ. Co Dai, Jiamiao ELSEVIER Effects of psychiatric disorders on ultrasound measurements and adverse perinatal outcomes in Chinese pregnant women: A ten-year retrospective cohort study 2022 europhysics journal Amsterdam (DE-627)ELV00892340X volume:469 year:2017 day:1 month:03 pages:60-70 extent:11 https://doi.org/10.1016/j.physa.2016.11.061 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U SSG-OLC-PHA 44.91 Psychiatrie Psychopathologie VZ AR 469 2017 1 0301 60-70 11 045F 500 |
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In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. |
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In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. |
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In this paper, a new coefficient is proposed with the objective of quantifying the level of information flow between financial time series. This transfer entropy coefficient, which provides an assessment on the multiscale information flow between measurements, is defined in terms of the transfer entropy method and the multiscale method. The implementation of this transfer entropy coefficient is illustrated with simulated time series and financial time series. Examples taken from simulated and financial data demonstrate that the dynamic mechanism of a complex system cannot be detected solely on the basis of transfer entropy of single scale. |
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| title_short |
Transfer entropy coefficient: Quantifying level of information flow between financial time series |
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https://doi.org/10.1016/j.physa.2016.11.061 |
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| author2 |
Shang, Pengjian |
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Shang, Pengjian |
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| doi_str |
10.1016/j.physa.2016.11.061 |
| up_date |
2024-07-06T17:09:56.125Z |
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