SIG-FIN-012-06

第12回研究会

移動エントロピーを用いた銘柄間の影響度ネットワーク分析†

著者†

小村 和輝, 鳥海 不二夫, 大橋 弘忠（東京大学工系研究科）

概要†

Recent research has explored the proper method to analyse relationship in financial markets for risk management, In this paper, we apply transfer entropy to construct a stationary network which represents the information propagation between stocks. This network can differ significantly from other static networks, such as correlations network and minimal spanning tree network, because it can include the direction information. We demonstrate that this method reveals meaningful hidden relations of cause and effect between stocks.

論文†

SIG-FIN-012-06.pdf