Mapping individual behavior in financial markets: synchronization and anticipation

Mapping individual behavior in financial markets: synchronization and anticipation

Abstract In this paper we develop a methodology, based on Mutual Information and Transfer of Entropy, that allows to identify, quantify and map on a network the synchronization and anticipation relationships between financial traders. We apply this methodology to a dataset containing 410,612 $410\te...

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Bibliographic Details
Main Authors: Mario Gutiérrez-Roig, Javier Borge-Holthoefer, Alex Arenas, Josep Perelló
Format: Article
Language:English
Published: SpringerOpen 2019-03-01
Series:EPJ Data Science
Subjects:
Financial markets
Behavioral economics
Transfer of entropy
Mutual information
Networks
Online Access:http://link.springer.com/article/10.1140/epjds/s13688-019-0188-6

Internet

http://link.springer.com/article/10.1140/epjds/s13688-019-0188-6

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