Information flow between stock indices

被引：122
|
作者：
Kwon, O. [1 ]
Yang, J. -S. [1 ]
机构：
[1] Korea Univ, Dept Phys, Natl Creat Res Initiat Ctr Neurodynam, Seoul 136713, South Korea
来源：
EPL | 2008年 / 82卷 / 06期
关键词：
D O I：
10.1209/0295-5075/82/68003
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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, while most receivers are in the Asia/Pacific region. According to the minimum spanning tree, the Standard and Poor's 500 Index (GSPC) is located at the focal point of the information source for world stock markets. Copyright (C) EPLA, 2008.
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页数：4
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