On Capturing the Spreading Dynamics over Trading Prices in the Market

Situngkir, Hokky (2015): On Capturing the Spreading Dynamics over Trading Prices in the Market. Published in: BFI Working Paper Series, WP-5-2015

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: stock market, spreading information dynamics, econophysics, information theory, transfer entropy, granger causality, ultrametric
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling; E - Macroeconomics and Monetary Economics > E0 - General; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation; Y - Miscellaneous Categories > Y1 - Data: Tables and Charts

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