Analysing the information flow between financial time series

By Robert Marschinski, Holger Kantz. 2002

427 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Global and Planetary Change, Signal Processing

View Paper: https://www.semanticscholar.org/paper/72f215e243d07fc8aaa203bc5d5189aae6558676

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Katerina Hlaváčková-Schindler
2. Joydeep Bhattacharya
3. Eric Gilbert
4. K. G. Karahalios
5. Milan Palus
6. Martin Vejmelka
7. Adair Morse

In Global and Planetary Change

1. Katerina Hlaváčková-Schindler
2. Joydeep Bhattacharya
3. Milan Palus
4. Martin Vejmelka

In Signal Processing

1. Katerina Hlaváčková-Schindler
2. Joydeep Bhattacharya
3. Eric Gilbert
4. K. G. Karahalios
5. Milan Palus
6. Martin Vejmelka

Citations in the corpus

• Causality detection based on information-theoretic approaches in time series analysis (2007, methodology): “The Schreiber’s transfer entropy was used in climatology [149, 245], in physiology [245, 130], in neurophysiology [45] and also in analysis of financial data [144].”
• Widespread Worry and the Stock Market (2010, background): “However, the statistical properties of these new techniques are not well-understood, especially significance testing (Marschinski and Kantz 2002).”