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In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at whi...
The effect of a market factor on information flow between stocks using minimal spanning tree
market factor stocks minimal spanning tree
2010/11/1
We empirically investigated the effects of market factors on the information flow created from
N(N −1)/2 linkage relationships among stocks. We also examined the possibility of employing the mi...
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pac...
Effects of time dependency and efficiency on information flow in financial markets
efficiency information flow financial markets
2010/12/13
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis...