移動エントロピーを用いた銘柄間影響度ネットワークによる投資指標の分析

抄録

Recent research has explored the proper method to analyse the relationships in financial markets for risk management. In this paper, we applied and expanded the method of transfer entropy to construct the influence network which represents the information propagation between stocks. FIrst, we demonstrate that this method reveals meaningful hidden relations of cause and effect between stocks, by showing that it is more useful than other methods, such as normal Transfer Entropy network, correlation coefficient network and partial correlation coefficient network. Second, we construnct the influence network and mention about its qualitative features. Finally, we examine the indexes which is considering the influence network and useful for individual investors.