Financial time series analysis based on effective phase transfer entropy-Reference-Cited by-同舟云学术

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Financial time series analysis based on effective phase transfer entropy

Published:2017-02 Issue: Volume:468 Page:398-408
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Yang Pengbo,Shang Pengjian,Lin Aijing

Funder

National Natural Science Foundation of China

Research Fund for the Doctoral Program of Higher Education

Beijing National Science

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference41 articles.

1. Measuring information transfer;Schreiber;Phys. Rev. Lett.,2000

2. Information transfer in continuous processes;Kaiser;Physica D,2002

3. Granger causality and transfer entropy are equivalent for Gaussian variables;Barnett;Phys. Rev. Lett.,2009

4. Detecting nonlinearity in structural systems using the transfer entropy;Nichols;Phys. Rev. E,2005

5. Determining the verse of magnetic turbulent cascades in the earth’s magnetospheric cusp via transfer entropy analysis: preliminary results;Materassi;Nonlinear Processes Geophys.,2007

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