Transfer Entropy Analysis of the Stock Market

2005/09/02 by Seung Ki Baek, Baek, Seung Ki, Woo‐Sung Jung +7 · 2 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech) #cond-mat.stat-mech #physics.soc-ph #q-fin.ST

paper · pdf · doi:10.48550/arxiv.physics/0509014

10 pages, 3 figures

openalex publication_date 2005/09/02 · arxiv created 2005/09/29 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones can be found and also the market leading companies are selected. Our entropy analysis shows that the companies related with energy industries such as oil, gas, and electricity influence the whole market.

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