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Statements

Subject Item
n2:RIV%2F68407700%3A21340%2F12%3A00190151%21RIV13-MSM-21340___
rdf:type
n4:Vysledek skos:Concept
rdfs:seeAlso
http://arxiv.org/pdf/1106.5913.pdf
dcterms: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.
dcterms:title
Rényi's Information Transfer between Financial Time Series Rényi's Information Transfer between Financial Time Series
skos:prefLabel
Rényi's Information Transfer between Financial Time Series Rényi's Information Transfer between Financial Time Series
skos:notation
RIV/68407700:21340/12:00190151!RIV13-MSM-21340___
n4:predkladatel
n7:orjk%3A21340
n3:aktivita
n11:Z
n3:aktivity
Z(MSM6840770039)
n3:cisloPeriodika
7
n3:dodaniDat
n8:2013
n3:domaciTvurceVysledku
n18:3976270
n3:druhVysledku
n20:J
n3:duvernostUdaju
n10:S
n3:entitaPredkladatele
n12:predkladatel
n3:idSjednocenehoVysledku
165019
n3:idVysledku
RIV/68407700:21340/12:00190151
n3:jazykVysledku
n21:eng
n3:klicovaSlova
Econophysics; Rényi entropy; Information transfer; Financial time series
n3:klicoveSlovo
n6:Financial%20time%20series n6:Econophysics n6:Information%20transfer n6:R%C3%A9nyi%20entropy
n3:kodStatuVydavatele
NL - Nizozemsko
n3:kontrolniKodProRIV
[1334DE378415]
n3:nazevZdroje
Physica A: Statistical Mechanics and Its Applications
n3:obor
n9:BA
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
3
n3:rokUplatneniVysledku
n8:2012
n3:svazekPeriodika
391
n3:tvurceVysledku
Jizba, Petr Scheffat, M. Kleinert, H.
n3:wos
000301763600007
n3:zamer
n17:MSM6840770039
s:issn
0378-4371
s:numberOfPages
19
n14:doi
10.1016/j.physa.2011.12.064
n19:organizacniJednotka
21340