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Pregled bibliografske jedinice broj: 879559

Information Flow Networks of Financial Time Series


Begušić, Stjepan; Kostanjčar, Zvonko
Information Flow Networks of Financial Time Series // 8th Conference on Complex Networks, CompleNet 2017
Dubrovnik, Croatia, 2017. str. 1-1 (predavanje, međunarodna recenzija, sažetak, znanstveni)


Naslov
Information Flow Networks of Financial Time Series

Autori
Begušić, Stjepan ; Kostanjčar, Zvonko

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, znanstveni

Izvornik
8th Conference on Complex Networks, CompleNet 2017 / - Dubrovnik, Croatia, 2017, 1-1

Skup
8th Conference on Complex Networks, CompleNet 2017

Mjesto i datum
Dubrovnik, Hrvatska, 21-24.03.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Information theory ; complex networks ; financial modelling

Sažetak
Here we propose the application of asymmetric information transfer measures to financial time series with the objective of uncovering meaningful directed connections between markets, asset classes or assets themselves. We apply the proposed methodology to the sector indices of the S&P 500 index constituents, and analyze the estimated information flows. The results demonstrate the value of an information theoretic approach to uncovering directed information flow estimates between financial time series. Moreover, the underlying asymmetric relationships are crucial in uncovering systemically crucial assets which can be the sources of risk in the system.

Izvorni jezik
Engleski

Znanstvena područja
Računarstvo, Interdisciplinarne tehničke znanosti, Informacijske i komunikacijske znanosti



POVEZANOST RADA


Projekt / tema
HRZZ-UIP-2014-09-5349 - Algoritmi za mjerenje sustavskog rizika (Zvonko Kostanjčar, )

Ustanove
Fakultet elektrotehnike i računarstva, Zagreb