英文标题：
《On Capturing the Spreading Dynamics over Trading Prices in the Market》
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作者：
Hokky Situngkir
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最新提交年份：
2015
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英文摘要：
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in information theory in its relation to the Granger causality, the paper proposes a tree of weighted directed graph of market to detect the changes of price might affect other price changes. We compare the proposed analysis with the similar tree representation built from the correlation coefficients of stock prices in order to have insight of possibility in seeing the collective behavior of the market in general.
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中文摘要：
虽然市场是一个信息通过相互作用的主体流动的社会领域，但观察构成市场的价格中传播信息的方法并不多。通过将信息论中的熵转移与格兰杰因果关系相结合，本文提出了一种加权有向市场图树，以检测价格变化可能影响其他价格变化。我们将所提出的分析与根据股价相关系数构建的类似树表示进行比较，以便洞察总体上观察市场集体行为的可能性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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