2017/06/17 by Jan Korbel, Xiongfei Jiang, Bo Zheng · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #q-fin.ST #physics.soc-ph
paper · pdf · doi:10.3390/e21111124
published as Entropy 2019, 21(11), 1124
arxiv created 2017/06/17 · arxiv updated 2019/11/18
With the help of transfer entropy, we analyze information flows between communities of complex networks. We show that the transfer entropy provides a coherent description of interactions between communities, including non-linear interactions. To put some flesh on the bare bones, we analyze transfer entropies between communities of five largest financial markets, represented as networks of interacting stocks. Additionally, we discuss information transfer of rare events, which is analyzed by Rényi transfer entropy.