2008/02/13 by Okyu Kwon, Jae-Suk Yang, Jae‐Suk Yang · 162 citations
Computer Science · Decision Sciences · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Business #Complex Systems and Time Series Analysis #Computer science #Econometrics #Economics #Financial economics #Geography #Information flow #Information transfer #Mathematics #Principle of maximum entropy #Regional science #Statistics #Stock (firearms) #Stock Market Forecasting Methods #Stock market #Stock market index #Telecommunications #Time Series Analysis and Forecasting #Transfer entropy #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.1209/0295-5075/82/68003
published in Europhysics Letters (EPL) 82(6), 68003 (Institute of Physics)
arxiv created 2008/02/13 · openalex publication_date 2008/05/29 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America, while most receivers are in the Asia/Pacific region. According to the minimum spanning tree, the Standard and Poor's 500 Index (GSPC) is located at the focal point of the information source for world stock markets.