Títol:
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Towards a sharp estimation of transfer entropy for identifying causality in financial time series
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Autor/a:
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Serès, Alex; Cabaña, Ana Alejandra; Arratia Quesada, Argimiro Alejandro
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Altres autors:
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Universitat Politècnica de Catalunya. Departament de Ciències de la Computació; Universitat Politècnica de Catalunya. LARCA - Laboratori d'Algorísmia Relacional, Complexitat i Aprenentatge |
Abstract:
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We present an improvement of an estimator of causality in financial time series via transfer entropy, which includes the side information that may affect the cause-effect relation in the system, i.e. a conditional
information-transfer based causality. We show that for weakly stationary time series the conditional transfer entropy measure is nonnegative and bounded below by the Geweke's measure of Granger causality. We use k-nearest neighbor distances to estimate entropy and approximate the distribution of the estimator with bootstrap techniques. We give examples of the application of the estimator in detecting causal effects in a simulated autoregressive stationary system in three random variables with linear and non-linear couplings; in a system of non stationary variables; and with real financial data. |
Matèries:
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-Àrees temàtiques de la UPC::Informàtica -Àrees temàtiques de la UPC::Matemàtiques i estadística -Finance--Econometric models -Bootstrap (Statistics) -Causality -Transfer entropy -Conditional causality -Financial time series -Bootstrap -Finances -- Models economètrics -Bootstrap (Estadística) |
Drets:
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Tipus de document:
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Article - Versió publicada Objecte de conferència |
Publicat per:
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CEUR-WS.org
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