Influence of Transfer Entropy in the Short-Term Prediction of Financial Time Series Using an ∊-Machine.
Entropy (Basel)
; 24(8)2022 Jul 30.
Article
em En
| MEDLINE
| ID: mdl-36010713
Predicting the values of a financial time series is mainly a function of its price history, which depends on several factors, internal and external. With this history, it is possible to build an ∊-machine for predicting the financial time series. This work proposes considering the influence of a financial series through the transfer of entropy when the values of the other financial series are known. A method is proposed that considers the transfer of entropy for breaking the ties that occur when calculating the prediction with the ∊-machine. This analysis is carried out using data from six financial series: two American, the S&P 500 and the Nasdaq; two Asian, the Hang Seng and the Nikkei 225; and two European, the CAC 40 and the DAX. This work shows that it is possible to influence the prediction of the closing value of a series if the value of the influencing series is known. This work showed that the series that transfer the most information through entropy transfer are the American S&P 500 and Nasdaq, followed by the European DAX and CAC 40, and finally the Asian Nikkei 225 and Hang Seng.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Health_economic_evaluation
/
Prognostic_studies
/
Risk_factors_studies
Idioma:
En
Revista:
Entropy (Basel)
Ano de publicação:
2022
Tipo de documento:
Article
País de afiliação:
México
País de publicação:
Suíça