熵和转移熵：道琼斯指数和1997年前的增长

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英文标题：
《Entropy and Transfer Entropy: The Dow Jones and the build up to the 1997
  Asian Crisis》
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作者：
Michael S. Harre
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最新提交年份：
2018
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英文摘要：
  Entropy measures in their various incarnations play an important role in the study of stochastic time series providing important insights into both the correlative and the causative structure of the stochastic relationships between the individual components of a system. Recent applications of entropic techniques and their linear progenitors such as Pearson correlations and Granger causality have have included both normal as well as critical periods in a system\'s dynamical evolution. Here I measure the entropy, Pearson correlation and transfer entropy of the intra-day price changes of the Dow Jones Industrial Average in the period immediately leading up to and including the Asian financial crisis and subsequent mini-crash of the DJIA on the 27th October 1997. I use a novel variation of transfer entropy that dynamically adjusts to the arrival rate of individual prices and does not require the binning of data to show that quite different relationships emerge from those given by the conventional Pearson correlations between equities. These preliminary results illustrate how this modified form of the TE compares to results using Pearson correlation.
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中文摘要：
熵测度在随机时间序列的研究中发挥着重要的作用，为系统各个组成部分之间的随机关系的相关结构和因果结构提供了重要的见解。熵技术及其线性前身（如Pearson相关性和Granger因果关系）的最新应用包括系统动态演化的正常周期和关键周期。在这里，我测量了1997年10月27日亚洲金融危机和随后的道琼斯工业平均指数（DJIA）小型崩盘之前的一段时间内道琼斯工业平均指数日内价格变化的熵、皮尔逊相关性和传递熵。我使用了一种新的转移熵变化，它可以动态地调整单个价格的到达率，并且不需要对数据进行组合，以表明股票之间的传统皮尔逊相关性给出的关系出现了很大的不同。这些初步结果说明了这种修正形式的TE如何与使用Pearson相关性的结果进行比较。
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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关键词：道琼斯指数 指数和 道琼斯 Applications Quantitative