| Issue |
EPL
Volume 82, Number 6, June 2008
|
|
|---|---|---|
| Article Number | 68003 | |
| Number of page(s) | 4 | |
| Section | Interdisciplinary Physics and Related Areas of Science and Technology | |
| DOI | https://doi.org/10.1209/0295-5075/82/68003 | |
| Published online | 29 May 2008 | |
Information flow between stock indices
1
Department of Physics, Korea University - Seoul 136-713, Korea
2
National Creative Research Initiative Center for Neuro-dynamics, Korea University - Seoul 136-713, Korea
Corresponding author: mathphy@korea.ac.kr
Received:
25
January
2008
Accepted:
30
April
2008
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America, while most receivers are in the Asia
Pacific region. According to the minimum spanning tree, the Standard and Poor's 500 Index (GSPC) is located at the focal point of the information source for world stock markets.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 89.70.Cf – Entropy and other measures of information / 89.75.Fb – Structures and organization in complex systems
© EPLA, 2008
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