2015/10/15 by Hokky Situngkir, Situngkir, Hokky
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #FOS: Economics and business #Neural Networks and Applications #Statistical Finance (q-fin.ST) #Statistical Mechanics and Entropy #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1510.04690
9 pages, 3 figures
arxiv created 2015/10/15 · openalex publication_date 2015/10/15 · arxiv updated 2015/10/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in information theory in its relation to the Granger causality, the paper proposes a tree of weighted directed graph of market to detect the changes of price might affect other price changes. We compare the proposed analysis with the similar tree representation built from the correlation coefficients of stock prices in order to have insight of possibility in seeing the collective behavior of the market in general.