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Comparison of transfer entropy methods for financial time series

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Cited by:

  1. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  2. Yu, Xuan & Shi, Suixiang & Xu, Lingyu & Yu, Jie & Liu, Yaya, 2020. "Analyzing dynamic association of multivariate time series based on method of directed limited penetrable visibility graph," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  3. Parthajit Kayal & Moinak Maiti, 2023. "Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach," SN Business & Economics, Springer, vol. 3(10), pages 1-22, October.
  4. 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).
  5. Xiao, Jihong & Xu, Wen & Liu, Hong & Zhao, Yunning, 2025. "Spillovers from oil price uncertainty to Chinese sectoral stock returns: New insights from effective transfer entropy," International Review of Financial Analysis, Elsevier, vol. 106(C).
  6. Kuang, Peng-Cheng, 2021. "Measuring information flow among international stock markets: An approach of entropy-based networks on multi time-scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 577(C).
  7. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
  8. He, Jiayi & Shang, Pengjian & Xiong, Hui, 2018. "Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 210-221.
  9. Caferra, Rocco, 2022. "Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  10. Wang, Yuhan & Xiao, Di, 2025. "Novel symbolic detection for flight-to-safety in Bitcoin and investigation of information flow dynamics alongside multiple markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 660(C).
  11. 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.
  12. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
  13. Dimpfl, Thomas & Peter, Franziska J., 2018. "Analyzing volatility transmission using group transfer entropy," Energy Economics, Elsevier, vol. 75(C), pages 368-376.
  14. Zhang, Jinren & Cao, Jinde & Wu, Tao & Huang, Wei & Ma, Tao & Zhou, Xinye, 2023. "A novel adaptive multi-scale Rényi transfer entropy based on kernel density estimation," Chaos, Solitons & Fractals, Elsevier, vol. 175(P1).
  15. Benedetto, Francesco & Mastroeni, Loretta & Quaresima, Greta & Vellucci, Pierluigi, 2020. "Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis," Energy Economics, Elsevier, vol. 89(C).
  16. Lahmiri, Salim & Bekiros, Stelios & Bezzina, Frank, 2020. "Multi-fluctuation nonlinear patterns of European financial markets based on adaptive filtering with application to family business, green, Islamic, common stocks, and comparison with Bitcoin, NASDAQ, and VIX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  17. Neto, José de Paula Neves & Figueiredo, Daniel Ratton, 2023. "Ranking influential and influenced stocks over time using transfer entropy networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
  18. Sabrina Aufiero & Antonio Briola & Tesfaye Salarin & Fabio Caccioli & Silvia Bartolucci & Tomaso Aste, 2025. "Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions," Papers 2505.14655, arXiv.org.
  19. Ji, Qiang & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2019. "Information interdependence among energy, cryptocurrency and major commodity markets," Energy Economics, Elsevier, vol. 81(C), pages 1042-1055.
  20. Santorsola, Marco & Caferra, Rocco & Morone, Andrea, 2022. "The financial repercussions of military escalation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  21. Xie, Wen-Jie & Yong, Yang & Wei, Na & Yue, Peng & Zhou, Wei-Xing, 2021. "Identifying states of global financial market based on information flow network motifs," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  22. Maghyereh, Aktham & Abdoh, Hussein & Awartani, Basel, 2022. "Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?," Journal of Commodity Markets, Elsevier, vol. 26(C).
  23. Choi, Insu & Kim, Woo Chang, 2024. "A temporal information transfer network approach considering federal funds rate for an interpretable asset fluctuation prediction framework," International Review of Economics & Finance, Elsevier, vol. 96(PA).
  24. Claudia Condemi & Loretta Mastroeni & Pierluigi Vellucci, 2021. "The impact of Clean Spark Spread expectations on storage hydropower generation," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1111-1146, December.
  25. Zhang, Yali & Shang, Pengjian & He, Jiayi & Xiong, Hui, 2020. "Cumulative Tsallis entropy based on multi-scale permuted distribution of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
  26. Sihyun An & Jihae Kim & Gahyun Choi & Hanwool Jang & Kwangwon Ahn, 2024. "The effect of rare events on information-leading role: evidence from real estate investment trusts and overall stock markets," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
  27. Xiaowei Fu & Yanlin Liu & Xi Li, 2020. "Source Diagnosis of Solid Oxide Fuel Cell System Oscillation Based on Data Driven," Energies, MDPI, vol. 13(16), pages 1-13, August.
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