On Capturing the Spreading Dynamics over Trading Prices in the Market
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References listed on IDEAS
- Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(2), pages 170-196, June.
- Hokky Situngkir & Yohanes Surya, 2004.
"Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia,"
0405005, University Library of Munich, Germany.
- Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Papers cond-mat/0403465, arXiv.org.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, University Library of Munich, Germany.
More about this item
Keywordsstock market; spreading information dynamics; econophysics; information theory; transfer entropy; granger causality; ultrametric;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E0 - Macroeconomics and Monetary Economics - - General
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Y1 - Miscellaneous Categories - - Data: Tables and Charts
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