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Transfer Entropy Analysis of the Stock Market

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arxiv physics/0509014 v2 pith:R3NE4K5R submitted 2005-09-02 physics.soc-ph cond-mat.stat-mechq-fin.ST

Seung Ki Baek , Woo-Sung Jung , Okyu Kwon , Hie-Tae Moon This is my paper · ORCID
classification physics.soc-phcond-mat.stat-mechq-fin.ST
keywords markettransferentropyanalysiscompaniesinformationstockcompany
verification ladder T0 review T1 audit T2 compute T3 formal
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In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones can be found and also the market leading companies are selected. Our entropy analysis shows that the companies related with energy industries such as oil, gas, and electricity influence the whole market.

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Cited by 3 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Information dynamics, natural computing and Maxwell's demon in two skyrmions system

    cond-mat.mes-hall 2025-06 conditional novelty 6.0 of 10

    Two interacting skyrmions at room temperature show measurable information transfer with a ~10 ms delay, non-Markovian memory from hidden trap states, and a weak but statistically significant XOR computation capability.

  2. Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance

    q-fin.CP 2025-08 conditional novelty 5.0 of 10

    Applying DII to EUA returns, the authors find IBEX35 and coal futures are the most robust causal drivers, with some non-linear links that Granger causality misses.

  3. Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions

    q-fin.GN 2025-05 conditional novelty 4.0 of 10

    For 39 public firms holding Bitcoin, Bitcoin returns are the dominant driver of their stock returns, with only brief episodes where the stocks influence Bitcoin, as measured by transfer entropy.

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