Renyi's information transfer between financial time series
Renyi's information transfer between financial time series
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DOI：
10.1016/j.physa.2011.12.064
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发表时间：
2012-05-15
影响因子：
3.3
通讯作者：
Shefaat, Mohammad
中科院分区：
文献类型：
--
作者：
Jizba, Petr;Kleinert, Hagen;Shefaat, Mohammad
本文利用Renyi熵对金融时间序列之间的统计相干性进行量化。借助于Campbell编码定理，我们证明了Renyi熵选择性地只强调基础经验分布的某些扇区，而强烈抑制其他扇区。为了处理时间序列之间的信息流问题，我们提出了Renyi传递熵的概念，作为一种仅在潜在分布的某些部分之间传递的信息的度量。这一点在金融时间序列中尤其重要，因为在金融时间序列中，对尖峰或突然跳跃等边缘事件的了解至关重要。我们将人民币信息流应用于1990年1月2日至2009年12月31日期间按日比率抽样的11个世界股票指数的股市时间序列。相应的热图和净信息流用图形表示。文中还详细讨论了基于2008年4月2日至2009年9月11日的分钟刻度数据的DAX和S&P500指数之间的传递熵。我们的分析表明，世界市场之间的双变量信息流动是强烈不对称的，从亚太地区流向欧洲和美国市场的信息盈余明显。重要但不那么戏剧性的过剩信息也从欧洲流向了美国。仔细分析人益在DAX和S指数之间的信息流，可以明显看出这一点。(C)2012爱思唯尔B.V.保留所有权利。
In this paper, we quantify the statistical coherence between financial time series by means of the Renyi entropy. With the help of Campbell's coding theorem, we show that the Renyi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Renyi's parameter q. To tackle the issue of the information flow between time series, we formulate the concept of Renyi'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 Renyian 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. Corresponding heat maps and net information flows are represented graphically. A detailed discussion of the transfer entropy between the DAX and S&P500 indices based on minute tick data gathered in the period 02.04.2008-11.09.2009 is also provided. Our analysis shows that the bivariate information flow between world markets is strongly asymmetric with a distinct information surplus flowing from the Asia-Pacific region to both European and US markets. An important yet less dramatic excess of information also flows from Europe to the US. This is particularly clearly seen from a careful analysis of Renyi information flow between the DAX and S&P500 indices. (C) 2012 Elsevier B.V. All rights reserved.