Modeling the flow of information between financial time-series by an entropy-based approach

被引：18

作者：

Benedetto, F. ^{[1
]}

Mastroeni, L. ^{[2
]}

Vellucci, P. ^{[2
]}

机构：

[1] Roma Tre Univ, Signal Proc Telecommun & Econ Lab, Via Vito Volterra 62, I-00146 Rome, Italy

[2] Roma Tre Univ, Dept Econ, Via Silvio DAmico 77, I-00145 Rome, Italy

来源：

ANNALS OF OPERATIONS RESEARCH | 2021年 / 299卷 / 1-2期

关键词：

Information content; Modeling; Financial time-series; Volatility indexes; Crude oil spot prices; Entropy-based analysis;

D O I：

10.1007/s10479-019-03319-7

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Recent literature has been documented that commodity prices have become more and more correlated with prices of financial assets. Hence, it would be crucial to understand how the amount of information contained in one time series (i.e. commodity prices) reflects on the other one (i.e. financial asset prices). Here, we address these issues by means of an entropy-based approach. In particular, we define two new metrics, namely the Joined Entropy and the Mutual Information, to analyze and model how the information content is (mutually) exchanged between two time series under investigation. The experimental outcomes, applied on volatility indexes, oil and natural gas prices for the period 01/04/1999-01/02/2015, prove the effectiveness of the proposed method in modeling the information flows between the analyzed data.

引用

页码：1235 / 1252

页数：18

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