Pregled bibliografske jedinice broj: 879559
Information Flow Networks of Financial Time Series
Information Flow Networks of Financial Time Series // 8th Conference on Complex Networks, CompleNet 2017
Dubrovnik, 2017. str. 1-1 (predavanje, međunarodna recenzija, sažetak, znanstveni)
CROSBI ID: 879559 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
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, 2017, 1-1
Skup
8th Conference on Complex Networks, CompleNet 2017
Mjesto i datum
Dubrovnik, Hrvatska, 21.03.2017. - 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
Projekti:
HRZZ-UIP-2014-09-5349 - Algoritmi za mjerenje sustavskog rizika (ASYRMEA) (Kostanjčar, Zvonko, HRZZ ) ( CroRIS)
Ustanove:
Fakultet elektrotehnike i računarstva, Zagreb
