Modeling the flow of information between financial time-series by an entropy-based approach
| العنوان: | Modeling the flow of information between financial time-series by an entropy-based approach |
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| المؤلفون: | Francesco Benedetto, Pierluigi Vellucci, Loretta Mastroeni |
| المساهمون: | Benedetto, F., Mastroeni, L., Vellucci, P. |
| المصدر: | Annals of Operations Research. 299:1235-1252 |
| بيانات النشر: | Springer Science and Business Media LLC, 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | Finance, Computer science, Financial asset, business.industry, Theory of computation, General Decision Sciences, Entropy (information theory), Mutual information, Management Science and Operations Research, Information content Modeling Financial time-series Volatility indexes Crude oil spot prices Entropy-based analysis, business, Oil and natural gas |
| الوصف: | Recent literature has been documented that commodity prices have become more and more correlated with prices of financial assets. Hence, it would be crucial to understand how the amount of information contained in one time series (i.e. commodity prices) reflects on the other one (i.e. financial asset prices). Here, we address these issues by means of an entropy-based approach. In particular, we define two new metrics, namely the Joined Entropy and the Mutual Information, to analyze and model how the information content is (mutually) exchanged between two time series under investigation. The experimental outcomes, applied on volatility indexes, oil and natural gas prices for the period 01/04/1999–01/02/2015, prove the effectiveness of the proposed method in modeling the information flows between the analyzed data. |
| تدمد: | 1572-9338 0254-5330 |
| DOI: | 10.1007/s10479-019-03319-7 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d6adf23b044ef42f6384bf0be515782 https://doi.org/10.1007/s10479-019-03319-7 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....7d6adf23b044ef42f6384bf0be515782 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 15729338 02545330 |
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| DOI: | 10.1007/s10479-019-03319-7 |