A new vision about the influence of major stock markets in CEEC indices: a bidirectional dynamic analysis using transfer entropy
This research work aims to understand the dynamics of influence among CEEC stock market
indices and between these and the US, German, UK and Chinese indices. Through a …
indices and between these and the US, German, UK and Chinese indices. Through a …
Time-varying characteristics of information flow networks in the Chinese market: An analysis based on sector indices
CX Nie - Finance Research Letters, 2023 - Elsevier
This study analyses the dynamics of the information flow between sector indices in the
Chinese market. Calculations show that the effective transfer entropy matrix is time-varying …
Chinese market. Calculations show that the effective transfer entropy matrix is time-varying …
Geometric Brownian Motion (GBM) of stock indexes and financial market uncertainty in the context of non-crisis and financial crisis scenarios
The present article proposes a methodology for modeling the evolution of stock market
indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion …
indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion …
Portfolio Construction: A Network Approach
A key parameter when investing is Time Horizon. One of the biggest mistakes investors
make is not aligning the timeline of their goals with their investment portfolio. In other words …
make is not aligning the timeline of their goals with their investment portfolio. In other words …
Examining the asymmetric information flow between pairs of gold, silver, and oil: a transfer entropy approach
The present study examines the asymmetric information flow between bivariate pairs of gold,
silver, and oil daily returns for the period: 1 September 2000 to 5 May 2022 with a special …
silver, and oil daily returns for the period: 1 September 2000 to 5 May 2022 with a special …
The global equity market reactions of the oil & gas midstream and marine shipping industries to COVID-19: An entropy analysis
M Nasiri, H Nasiri, S Nasiri, M Bitarafan… - HighTech and …, 2021 - hightechjournal.org
This article quantifies the information flow between major equities in the Oil & Gas
Midstream and Marine Shipping industries, on the basis of the effective transfer entropy …
Midstream and Marine Shipping industries, on the basis of the effective transfer entropy …
Portfolios under different methods and scenarios: A case of Fiji's South Pacific Stock Exchange
RR Kumar, PJ Stauvermann - Journal of Risk and Financial Management, 2022 - mdpi.com
In this study, we analyze portfolio performance under different methods and scenarios for the
small island economy of Fiji. In addition to documenting the historical performance and the …
small island economy of Fiji. In addition to documenting the historical performance and the …
[HTML][HTML] Analyzing the Time-Varying Characteristics of Information Flow Networks among Main Industries Indices in the Tehran Stock Exchange
E Farzanegan - Economics Research, 2023 - joer.atu.ac.ir
The information diffusion and interactions within financial markets have a significant impact
on the price discovery process and the sentiment and risk dispersion. Despite its …
on the price discovery process and the sentiment and risk dispersion. Despite its …
[PDF][PDF] HighTech and Innovation
M Nasiri, H Nasiri, S Nasiri, M Bitarafan… - pdfs.semanticscholar.org
This article quantifies the information flow between major equities in the Oil & Gas
Midstream and Marine Shipping industries, on the basis of the effective transfer entropy …
Midstream and Marine Shipping industries, on the basis of the effective transfer entropy …