| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 975085 | Physica A: Statistical Mechanics and its Applications | 2008 | 6 Pages |
Abstract
We investigate the strength and the direction of information transfer in the US stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Okyu Kwon, Jae-Suk Yang,