Information Theoretic Causality Detection between Financial and Sentiment Data
The interaction between the flow of sentiment expressed on blogs and media and the dynamics of the stock market prices are analyzed through an information-theoretic measure, the transfer entropy, to quantify causality relations. We analyzed daily stock price and daily social media sentiment for the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-05-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/5/621 |