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SYEF: Symposium Statistical Physics of Economic and Financial Systems

SYEF 1: Statistical Physics of Economic and Financial Systems

SYEF 1.3: Invited Talk

Thursday, March 21, 2024, 10:30–11:00, H 0105

Transfer Entropy in financial stock markets — •Leonidas Sandoval — Insper, São Paulo, SP, Brazil

Transfer Entropy is a concept associated with information theory. It measures the amount of information about the time series of one variable that can be inferred from the time series of another variable. There are many applications of this concept, in neuroscience and a diversity of fields, including finance. It has the benefits of being causal (in the sense of Granger causality) and model independent. We will show how Transfer Entropy may be used in the building of networks of financial stock market indices, stocks and commodities, using the US stock market, the European stock market, and the German Stock market as examples. We will also explore how Transfer Entropy may be used in order to build more robust portfolios, and how it may be used in the study of the propagation of financial crises.

Keywords: entropy; finance; networks; stocks; commodities