On Capturing the Spreading Dynamics over Trading Prices in the Market

Hokky Situngkir

MPRA Paper from University Library of Munich, Germany

Abstract: While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in information theory in its relation to the Granger causality, the paper proposes a tree of weighted directed graph of market to detect the changes of price might affect other price changes. We compare the proposed analysis with the similar tree representation built from the correlation coefficients of stock prices in order to have insight of possibility in seeing the collective behavior of the market in general.

Keywords: stock market; spreading information dynamics; econophysics; information theory; transfer entropy; granger causality; ultrametric (search for similar items in EconPapers)
JEL-codes: C1 C15 C50 C58 C63 E0 G17 Y1 (search for similar items in EconPapers)
Date: 2015-10-15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/67247/1/MPRA_paper_67247.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:67247

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().