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: | Roberta Scaramozzino, Paola Cerchiello, Tomaso Aste |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-05-01
|
Series: | Entropy |
Subjects: | |
Online Access: | https://www.mdpi.com/1099-4300/23/5/621 |
Similar Items
-
Measures of Causality in Complex Datasets with Application to Financial Data
by: Anna Zaremba, et al.
Published: (2014-04-01) -
Information Network Modeling for U.S. Banking Systemic Risk
by: Giancarlo Nicola, et al.
Published: (2020-11-01) -
Time-Varying Granger Causality of COVID-19 News on Emerging Financial Markets: The Latin American Case
by: Semei Coronado, et al.
Published: (2023-01-01) -
Assessing News Contagion in Finance
by: Paola Cerchiello, et al.
Published: (2018-02-01) -
Influence of Transfer Entropy in the Short-Term Prediction of Financial Time Series Using an ∊-Machine
by: José Crispín Zavala-Díaz, et al.
Published: (2022-07-01)