Information Flow Networks of Chinese Stock Market Sectors

Information Flow Networks of Chinese Stock Market Sectors

Transfer entropy measures the strength and direction of information flow between different time series. We study the information flow networks of the Chinese stock market and identify important sectors and information flow paths. This paper uses the daily closing price data of the 28 level-1 sectors...

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Bibliographic Details
Main Authors: Peng Yue, Qing Cai, Wanfeng Yan, Wei-Xing Zhou
Format: Article
Language:English
Published: IEEE 2020-01-01
Series:IEEE Access
Subjects:
Econophysics
transfer entropy
spanning arborescence
information flow network
sector rotation
Online Access:https://ieeexplore.ieee.org/document/8957547/

Internet

https://ieeexplore.ieee.org/document/8957547/

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