6533b860fe1ef96bd12c309b
RESEARCH PRODUCT
Synergistic Information Transfer in the Global System of Financial Markets.
Tomas ScagliariniDaniele MarinazzoRosario N. MantegnaLuca FaesSebastiano Stramagliasubject
Information transferFLOWGeneral Physics and Astronomysynergylcsh:AstrophysicsGRANGER CAUSALITYArticleeconometricsstock marketBusiness and EconomicsGranger causalityFinancial marketsHigher order dependencies SynergyOrder (exchange)lcsh:QB460-466EconomicsEconometricsfinancial marketsInformation flow (information theory)NETWORKlcsh:Scienceinformation theoryhigher order dependenciesCROSS-CORRELATIONSFinancial marketStock market indexlcsh:QC1-999Mathematics and Statisticstime series analysislcsh:QTransfer entropyStock marketlcsh:Physicsdescription
Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the future state of each target provided by the knowledge of the state of each driving stock market index. In order to go beyond the pairwise description of the information flow, thus looking at higher order informational circuits, here we apply the partial information decomposition to triplets consisting of a pair of driving markets (belonging to America or Europe) and a target market in Asia. Our analysis, on daily data recorded during the years 2000 to 2019, allows the identification of the synergistic information that a pair of drivers carry about the target. By studying the influence of the closing returns of drivers on the subsequent overnight changes of target indexes, we find that (i) Korea, Tokyo, Hong Kong, and Singapore are, in order, the most influenced Asian markets
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2020-09-08 | Entropy (Basel, Switzerland) |