The Flow of Information in Trading: An Entropy Approach to Market Regimes

In this study, we use entropy-based measures to identify different types of trading behaviors. We detect the return-driven trading using the conditional block entropy that dynamically reflects the “self-causality” of market return flows. Then we use the transfer entropy to identify the news-driven t...

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Detalles Bibliográficos
Autores principales: Liu, Anqi, Chen, Jing, Yang, Steve Y., Hawkes, Alan G.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597144/
https://www.ncbi.nlm.nih.gov/pubmed/33286833
http://dx.doi.org/10.3390/e22091064

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7597144/
https://www.ncbi.nlm.nih.gov/pubmed/33286833
http://dx.doi.org/10.3390/e22091064

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