文献类型：期刊文献

英文题名：Transfer entropy calculation for short time sequences with application to stock markets

作者：Qiu, Lu[1,2];Yang, Huijie[3]

机构：[1]Shanghai Normal Univ, Sch Finance & Business, Shanghai 200234, Peoples R China;[2]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[3]Univ Shanghai Sci & Technol, Business Sch, Shanghai 200093, Peoples R China

年份：2020

卷号：559

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20203509105588);WOS:【SSCI(收录号:WOS:000568889500041)，SCI-EXPANDED(收录号:WOS:000568889500041)】；

基金：The work is supported by The Youth Project of Humanities and Social Sciences Financed by Ministry of Education under Grant No. 18YJC910010 (L. Qiu). Research Projects of Humanities and Social Sciences of Shanghai Normal University under Grant No. A-7031-18-004023 (L. Qiu). Lu Qiu and Huijie Yang designed the research performed the calculation. Lu Qiu analyzed the data and wrote the paper. The authors contributed to manuscript revision, read and approved the submitted version.

语种：英文

外文关键词：Financial short time series; Transfer entropy; Financial crisis; Early warning

摘要：We investigate the estimation of transfer entropy (TE) for short time sequences by correlation-dependent balanced estimation of diffusion entropy employed in the transfer entropy (CBEDETE) method and the normal transfer entropy (NTE) method. Our finding shows that the CBEDETE method is more effective than the NTE method on TE calculation for short time series. Based on this conclusion, we use 38 important stock market indices from 4 continents to create successive financial networks with 10 similar to 60-day windows and 1-day step by the CBEDETE method. By extracting the evolution characteristics of out-/in-degree of stock networks, we obtain the most influential stocks RTS, KOSPI, PSI, NIKKE and AORD of Europe, Asia and Oceania and the most influenced stocks IBOVESPA, NYSE, NASD and MERV of America. Finally, by monitoring the ratio of link numbers of each network and smoothing the curves, we find an interesting result that almost all effective peaks in the smoothed ratio curves are prior to the financial crises, such as the global financial crisis in 2008, China's stock market crash in 2015, etc. (C) 2020 Elsevier B.V. All rights reserved.