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- Title
A New Entropic Measure for the Causality of the Financial Time Series.
- Authors
Lerner, Peter B.
- Abstract
A new econometric methodology based on deep learning is proposed for determining the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks and also in exchange-traded funds (ETFs) with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than transaction imbalances in the entire market despite the domination of single-issue stocks in imbalance messages.
- Subjects
TIME series analysis; EXCHANGE traded funds; TIMESTAMPS; DEEP learning; STOCK transfer
- Publication
Journal of Risk & Financial Management, 2023, Vol 16, Issue 7, p338
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm16070338