The Flow of Information in Trading: An Entropy Approach to Market Regimes
In this study, we use entropy-based measures to identify different types of trading behaviors. We detect the return-driven trading using the conditional block entropy that dynamically reflects the “self-causality” of market return flows. Then we use the transfer entropy to identify the news-driven t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-09-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/9/1064 |