Nonlinearity matters: The stock price – trading volume relation revisited

Author:

Behrendt Simon,Schmidt Alexander

Funder

Deutsche Forschungsgemeinschaft

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference43 articles.

1. Return volatility and trading volume: an information flow interpretation of stochastic volatility;Andersen;J. Finance,1996

2. RTransferEntropy – quantifying information flow between different time series using effective transfer entropy;Behrendt;Software,2019

3. An Introduction to Transfer Entropy: Information Flow in Complex Systems;Bossomaier,2016

4. Causality, chaos, explanation and prediction in economics and finance;Brock,1991

5. Symbolic Transfer Entropy Test for Causality in Longitudinal Data;Camacho,2020

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