Statistical properties of information flow in financial time series
Cheoljun Eom, Okyu Kwon, Woo-Sung Jung
TL;DR
This paper aimed to analyze the statistical properties of information flow in financial time series, providing insights into market dynamics and information dissemination.
Contribution
The study introduces a novel approach to quantify information flow in financial data, enhancing understanding of market behavior.
Findings
Identified key statistical patterns in information flow
Demonstrated the impact of information flow on market volatility
Provided a new framework for analyzing financial time series
Abstract
This paper has been withdrawn by the authors.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Time Series Analysis and Forecasting · Stock Market Forecasting Methods