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Mutual Information Rate-Based Networks in Financial Markets

Citations

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Cited by:

  1. Yongqiang Zhu & Xinyi Li & Xizhen Mu & Yue Zhao, 2024. "Analysis of the Relationships between Variables and Their Applications in the Energy Saving Field," Energies, MDPI, vol. 17(15), pages 1-16, July.
  2. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
  3. Weibo Li & Wei Liu & Lei Wu & Xue Guo, 2021. "Risk spillover networks in financial system based on information theory," PLOS ONE, Public Library of Science, vol. 16(6), pages 1-20, June.
  4. Qiu, Lu & Yang, Huijie, 2020. "Transfer entropy calculation for short time sequences with application to stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  5. Songtao Wu & Jianmin He & Chao Wang, 2017. "Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-15, September.
  6. Xiurong Chen & Aimin Hao & Yali Li, 2020. "The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
  7. Dimitar Kitanovski & Igor Mishkovski & Viktor Stojkoski & Miroslav Mirchev, 2024. "Network-based diversification of stock and cryptocurrency portfolios," Papers 2408.11739, arXiv.org, revised Mar 2025.
  8. James, Nick & Menzies, Max & Gottwald, Georg A., 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  9. Banerjee, Ameet Kumar & Akhtaruzzaman, Md & Dionisio, Andreia & Almeida, Dora & Sensoy, Ahmet, 2022. "Nonlinear nexus between cryptocurrency returns and COVID-19 news sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  10. Nick James & Max Menzies & Georg A. Gottwald, 2022. "On financial market correlation structures and diversification benefits across and within equity sectors," Papers 2202.10623, arXiv.org, revised Jun 2022.
  11. Lukun Zheng, 2019. "Using mutual information as a cocitation similarity measure," Scientometrics, Springer;Akadémiai Kiadó, vol. 119(3), pages 1695-1713, June.
  12. Nick James & Max Menzies, 2024. "Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals," Papers 2412.00468, arXiv.org, revised Feb 2025.
  13. A. Q. Barbi & G. A. Prataviera, 2017. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Papers 1711.06185, arXiv.org, revised May 2019.
  14. khoojine, Arash Sioofy & Han, Dong, 2019. "Network analysis of the Chinese stock market during the turbulence of 2015–2016 using log-returns, volumes and mutual information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1091-1109.
  15. Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
  16. Gao, Hai-Ling & Mei, Dong-Cheng, 2019. "The correlation structure in the international stock markets during global financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  17. Liu, Xueyong & Jiang, Cheng, 2020. "The dynamic volatility transmission in the multiscale spillover network of the international stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  18. Ardakani, Omid M., 2024. "Portfolio optimization with transfer entropy constraints," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  19. Zeng, Zhi-Jian & Xie, Chi & Yan, Xin-Guo & Hu, Jue & Mao, Zhou, 2016. "Are stock market networks non-fractal? Evidence from New York Stock Exchange," Finance Research Letters, Elsevier, vol. 17(C), pages 97-102.
  20. Shi, Huai-Long & Chen, Huayi, 2024. "Understanding co-movements based on heterogeneous information associations," International Review of Financial Analysis, Elsevier, vol. 94(C).
  21. Zhong, Tao & Peng, Qinke & Wang, Xiao & Zhang, Jing, 2016. "Novel indexes based on network structure to indicate financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 583-594.
  22. Musmeci, Nicoló & Aste, Tomaso & Di Matteo, T., 2015. "Relation between financial market structure and the real economy: comparison between clustering methods," LSE Research Online Documents on Economics 61644, London School of Economics and Political Science, LSE Library.
  23. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
  24. Jonathan E. Ogbuabor & Anthony Orji & Gladys C. Aneke & Oyun Erdene-Urnukh, 2016. "Measuring the Real and Financial Connectedness of Selected African Economies with the Global Economy," South African Journal of Economics, Economic Society of South Africa, vol. 84(3), pages 364-399, September.
  25. Peng Yue & Yaodong Fan & Jonathan A. Batten & Wei-Xing Zhou, 2020. "Information transfer between stock market sectors: A comparison between the USA and China," Papers 2004.07612, arXiv.org.
  26. Eduard Baitinger, 2021. "Forecasting asset returns with network‐based metrics: A statistical and economic analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1342-1375, November.
  27. Sun, Qingru & Gao, Xiangyun & Zhong, Weiqiong & Liu, Nairong, 2017. "The stability of the international oil trade network from short-term and long-term perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 345-356.
  28. Fiedor, Paweł, 2014. "Sector strength and efficiency on developed and emerging financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 180-188.
  29. Kundan Mukhia & Imran Ansari & S R Luwang & Md Nurujjaman, 2026. "Core-Periphery Dynamics in Market-Conditioned Financial Networks: A Conditional P-Threshold Mutual Information Approach," Papers 2601.00395, arXiv.org.
  30. Ferreira, Paulo & Almeida, Dora & Dionísio, Andreia & Bouri, Elie & Quintino, Derick, 2022. "Energy markets – Who are the influencers?," Energy, Elsevier, vol. 239(PA).
  31. Dong, Keqiang & Long, Linan & Zhang, Hong & Gao, You, 2018. "The mutual information based minimum spanning tree to detect and evaluate dependencies between aero-engine gas path system variables," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 248-253.
  32. Kamrul Hasan Tuhin & Ashadun Nobi & Mahmudul Hasan Rakib & Jae Woo Lee, 2025. "Long short-term memory autoencoder based network of financial indices," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-15, December.
  33. Hosseini, Seyed Soheil & Wormald, Nick & Tian, Tianhai, 2021. "A Weight-based Information Filtration Algorithm for Stock-correlation Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
  34. Xue Guo & Hu Zhang & Tianhai Tian, 2018. "Development of stock correlation networks using mutual information and financial big data," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-16, April.
  35. Arthur Matsuo Yamashita Rios de Sousa & Hideki Takayasu & Misako Takayasu, 2017. "Detection of statistical asymmetries in non-stationary sign time series: Analysis of foreign exchange data," PLOS ONE, Public Library of Science, vol. 12(5), pages 1-18, May.
  36. Yong Kheng Goh & Haslifah M Hasim & Chris G Antonopoulos, 2018. "Inference of financial networks using the normalised mutual information rate," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-21, February.
  37. Tao You & Paweł Fiedor & Artur Hołda, 2015. "Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information," JRFM, MDPI, vol. 8(2), pages 1-19, June.
  38. Mahmudul Islam Rakib & Md Javed Hossain & Ashadun Nobi, 2022. "Feature ranking and network analysis of global financial indices," PLOS ONE, Public Library of Science, vol. 17(6), pages 1-16, June.
  39. Lan, Qiujun & Li, Haojie & Mi, Xianhua & Zhang, Chunyu, 2025. "Optimizing investment strategies: Harnessing the power of K-line complex networks," International Review of Economics & Finance, Elsevier, vol. 99(C).
  40. Shi, Huai-Long & Chen, Huayi, 2023. "Revisiting asset co-movement: Does network topology really matter?," Research in International Business and Finance, Elsevier, vol. 66(C).
  41. Nicoló Musmeci & Tomaso Aste & T Di Matteo, 2015. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-24, March.
  42. Barbi, A.Q. & Prataviera, G.A., 2019. "Nonlinear dependencies on Brazilian equity network from mutual information minimum spanning trees," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 876-885.
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