Information flow between stock indices

Details Information flow between stock indices Information flow between stock indices

2008-02-13

arxiv.org/abs/0802.1747v1

Economy

Quantitative Finance

Statistical Finance

Scientific paper

10.1209/0295-5075/82/68003

Using transfer entropy, we observed the strength and direction of information
flow between stock indices. We uncovered that the biggest source of information
flow is America. In contrast, the Asia/Pacific region the biggest is receives
the most information. According to the minimum spanning tree, the GSPC is
located at the focal point of the information source for world stock markets.

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