Empirical comparison on Indonesian stocks finds Pearson-MST-Infomap best recovers sectoral taxonomy while PMFG and MI adaptive binning better expose local and cross-sector structures such as commodity regimes.
On Capturing the Spreading Dynamics over Trading Prices in the Market
1 Pith paper cite this work. Polarity classification is still indexing.
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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.
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cs.SI 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
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Information Networks of Stock Prices
Empirical comparison on Indonesian stocks finds Pearson-MST-Infomap best recovers sectoral taxonomy while PMFG and MI adaptive binning better expose local and cross-sector structures such as commodity regimes.