About: Rényi's Information Transfer between Financial Time Series

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://arxiv.org/pdf/1106.5913.pdf
Description	n this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell's coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Rényi's parameter q. To tackle the issue of the information flow between time series, we formulate the concept of Rényi's transfer entropy as a measure of information that is transferred only between certain parts of underlying distributions. This is particularly pertinent in financial time series, where the knowledge of marginal events such as spikes or sudden jumps is of a crucial importance. We apply the Rényian information flow to stock market time series from 11 world stock indices as sampled at a daily rate in the time period 02.01.1990-31.12.2009. n this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell's coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Rényi's parameter q. To tackle the issue of the information flow between time series, we formulate the concept of Rényi's transfer entropy as a measure of information that is transferred only between certain parts of underlying distributions. This is particularly pertinent in financial time series, where the knowledge of marginal events such as spikes or sudden jumps is of a crucial importance. We apply the Rényian information flow to stock market time series from 11 world stock indices as sampled at a daily rate in the time period 02.01.1990-31.12.2009. (en)
Title	Rényi's Information Transfer between Financial Time Series Rényi's Information Transfer between Financial Time Series (en)
skos:prefLabel	Rényi's Information Transfer between Financial Time Series Rényi's Information Transfer between Financial Time Series (en)
skos:notation	RIV/68407700:21340/12:00190151!RIV13-MSM-21340___
http://linked.open...avai/riv/aktivita	Z
http://linked.open...avai/riv/aktivity	Z(MSM6840770039)
http://linked.open...iv/cisloPeriodika	7
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Jizba, Petr
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta jaderná a fyzikálně inženýrská
http://linked.open...dnocenehoVysledku	165019
http://linked.open...ai/riv/idVysledku	RIV/68407700:21340/12:00190151
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Econophysics; Rényi entropy; Information transfer; Financial time series (en)
http://linked.open.../riv/klicoveSlovo	Rényi entropy Econophysics Financial time series Information transfer
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[1334DE378415]
http://linked.open...i/riv/nazevZdroje	Physica A: Statistical Mechanics and Its Applications
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	391
http://linked.open...iv/tvurceVysledku	Jizba, Petr Kleinert, H. Scheffat, M.
http://linked.open...ain/vavai/riv/wos	000301763600007
http://linked.open...n/vavai/riv/zamer	Matematické, počítačové a experimentální metody ve fyzice
issn	0378-4371
number of pages	19 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.physa.2011.12.064
http://localhost/t...ganizacniJednotka	21340

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