scholarly journals Development of Stock Networks Using Part Mutual Information and Australian Stock Market Data

Entropy ◽  
2020 ◽  
Vol 22 (7) ◽  
pp. 773
Author(s):  
Yan Yan ◽  
Boyao Wu ◽  
Tianhai Tian ◽  
Hu Zhang
Keyword(s):  
Information Theory ◽  
Big Data ◽  
Mutual Information ◽  
Stock Market ◽  
Correlation Coefficient ◽  
Market Data ◽  
Industrial Sectors ◽  
Large Size ◽  
Networks Analysis ◽  
The Relationship

Complex network is a powerful tool to discover important information from various types of big data. Although substantial studies have been conducted for the development of stock relation networks, correlation coefficient is dominantly used to measure the relationship between stock pairs. Information theory is much less discussed for this important topic, though mutual information is able to measure nonlinear pairwise relationship. In this work we propose to use part mutual information for developing stock networks. The path-consistency algorithm is used to filter out redundant relationships. Using the Australian stock market data, we develop four stock relation networks using different orders of part mutual information. Compared with the widely used planar maximally filtered graph (PMFG), we can generate networks with cliques of large size. In addition, the large cliques show consistency with the structure of industrial sectors. We also analyze the connectivity and degree distributions of the generated networks. Analysis results suggest that the proposed method is an effective approach to develop stock relation networks using information theory.

Interaction Between Forex and Stock Markets in India: An Entropy Approach

2008 ◽  
Vol 33 (4) ◽  
pp. 27-46 ◽  
Author(s):  
Y V Reddy ◽  
A Sebastin
Keyword(s):  
Time Series ◽  
Mutual Information ◽  
Stock Market ◽  
Transfer Entropy ◽  
The Other ◽  
Stock Index ◽  
Reverse Direction ◽  
Probability Mass Function ◽  
Information Theoretic ◽  
The Relationship

Interactions between the foreign exchange market and the stock market of a country are considered to be an important internal force of the markets in a financially liberalized environment. If causal relationship from a market to the other is not detected, then informational efficiency exists in the other whereas existence of causality implies that hedging of exposure to one market by taking position in the other market will be effective. The temporal relationship between the forex market and the stock market of developing and developed countries has been studied, especially after the East Asian financial crisis of 1997–98, using various methods like cross-correlation, cross-spectrum, and error correction model, but these methods identify only linear relations. A statistically rigorous approach to the detection of interdependence, including non-linear dynamic relationships, between time series is provided by tools defined using the information theoretic concept of entropy. Entropy is the amount of disorder in the system and also is the amount of information needed to predict the next measurement with a certain precision. The mutual information between two random variables X and Y with a joint probability mass function p(x,y) and marginal mass functions p(x) and p(y), is defined as the relative entropy between the joint distribution p(x,y) and the product distribution p(x)*p(y). Mutual information is the reduction in the uncertainty of X due to the knowledge of Y and vice versa. Since mutual information measures the deviation from independence of the variables, it has been proposed as a tool to measure the relationship between financial market segments. However, mutual information is a symmetric measure and does not contain either dynamic information or directional sense. Even time delayed mutual information does not distinguish information actually exchanged from shared information due to a common input signal or history and therefore does not quantify the actual overlap of the information content of two variables. Another information theoretic measure called transfer entropy has been introduced by Thomas Schreiber (2000) to study the relationship between dynamic systems; the concept has also been applied by some authors to study the causal structure between financial time series. In this paper, an attempt has been made to study the interaction between the stock and the forex markets in India by computing transfer entropy between daily data series of the 50 stock index of the National Stock Exchange of India Limited, viz., Nifty and the exchange rate of Indian Rupee vis- à- vis US Dollar, viz., Reserve Bank of India reference rate. The entire period–November 1995 to March 2007–selected for the study, has been divided into three sub-periods for the purpose of analysis, considering the developments that took place during these sub-periods. The results obtained reveal that: there exist only low level interactions between the stock and the forex markets of India at a time scale of a day or less, although theory suggests interactive relationship between the two markets the flow from the stock market to the forex market is more pronounced than the flow in the reverse direction.

scholarly journals The Relationship Between Cat Bond Market and Other Financial Asset Markets: Evidence from Cointegration Tests

2021 ◽  
Vol 6 (2) ◽  
pp. 78-85
Author(s):  
Chaouki Mouelhi
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Correlation Coefficient ◽  
Rank Correlation ◽  
Long Run ◽  
Cat Bonds ◽  
Cointegration Tests ◽  
Short Run ◽  
Decision Choice ◽  
The Relationship

This study examines the relationship between Cat Bonds market and the other financial markets. Precisely, cointegration tests (the Engle and Granger’s methodology) were applied on weekly data of five indexes over the period 2012- 2019 to test for the existence of a long-run dynamic equilibrium relationship between Cat Bonds market and four financial markets, namely, Insurance Linked Securities (ILS) market, S&P 500 (first stock market), MSCI (second stock market) and Corporate Bonds market. In addition, a comparative analysis correlation vs cointegration was conducted to verify whether Cat Bonds can be really considered as zero-beta assets in the short-run (correlation) as well as the long-run (cointegration). For correlation analysis we employed three correlation coefficients (Pearson’s Correlation Coefficient, Spearman’s Rank Correlation Coefficient and Kendall's Rank Correlation Coefficient). Overall, the main findings of this study showed that in the short-run, Cat Bonds are partially zero-beta assets while over the long-run they are entirely zero-beta assets. Such results will be of great importance for investors in their decision choice between a short strategy or a long strategy in Cat Bonds’ investing.

An Effective Stock Classification Method Via MDS Based on Modified Mutual Information Distance

2019 ◽  
Vol 19 (02) ◽  
pp. 2050018 ◽  
Author(s):  
Jun Jiang ◽  
Pengjian Shang ◽  
Xuemei Li
Keyword(s):  
Time Series ◽  
Mutual Information ◽  
Stock Market ◽  
Financial Data ◽  
Simulation Experiments ◽  
Market Data ◽  
Information Distance ◽  
Proximity Matrix ◽  
The Stability ◽  
Stability And Accuracy

This paper proposes a multidimensional scaling (MDS) method based on modified mutual information distance (M-MDS) to analyze stock market data. To better describe the relativity of financial data, it is worthwhile to point out that the commonly used proximity matrix in MDS is replaced with modified mutual information distance (M-MI-D) matrix. Refer to M-MI-D, a higher dissimilarity leads to a larger distance. In order to demonstrate the stability and accuracy of M-MDS, logistic time series are used in simulation experiments. In addition, a comparison of this new M-MDS method with classical MDS is given using the stock market data. It is noted that the new M-MDS method shows better stability than that of classical MDS method. Moreover, not only the stocks in the same US stock block, but also the stocks in different blocks have been discussed to illustrate the efficiency of M-MDS method.

THE RELATIONSHIP BETWEEN ELECTROMYOGRAPHY SIGNAL OF NECK MUSCLE AND HUMAN VOICE SIGNAL FOR CONTROLLING LOUDNESS OF ELECTROLARYNX

2014 ◽  
Vol 26 (05) ◽  
pp. 1450054 ◽  
Author(s):  
Fatchul Arifin ◽  
Tri Arief Sardjono ◽  
Mauridhi Hery Purnomo
Keyword(s):  
Mutual Information ◽  
Correlation Coefficient ◽  
Moving Average ◽  
Neck Muscle ◽  
Moving Average Process ◽  
Pitch Control ◽  
Human Voice ◽  
Voice Signal ◽  
Emg Signal ◽  
The Relationship

Human voice intonation is affected by pitch and loudness. Pitch is related to the frequency of human voice, while loudness is related to the magnitude of human voice. Someone who does not have vocal cords, has no ability to produce voice. This problem is suffered by laryngectomy patients. Over half of all laryngectomy patients worldwide use electrolarynx for the rehabilitation of their speech ability. Unfortunately, the electrolarynx voice produces monotonic and flat intonation. Small changes in pitch and loudness of electrolarynx will give a better expression in laryngectomy patients. However, previous researches have focused on utilization of electromyography (EMG) signal of neck muscle for only pitch control. In this research, the relationship between human voice intonation (i.e. frequency and magnitude) and EMG signals of neck muscles was studied by looking for their correlation and their mutual information. Human voice signal and EMG signal of neck muscle were recorded simultaneously while subjects were saying "A" with varying intonation. The EMG signal of neck muscle was processed using amplifying, filtering, rectifying and "moving average" process. On the other hand, the human voice was processed by FFT Algorithm to obtain magnitude and fundamental frequency. The result shows that the correlation coefficient between human voice magnitudes and EMG signal of neck muscle is 0.93, while the correlation coefficient between human voice frequency and EMG signal of neck muscle is 0.88. Moreover, the mutual information between human voice magnitudes and EMG signal of neck muscle is 1.07, while the mutual information between human voice frequency and EMG signal of neck muscle is 0.65. These results show that the relationship between human voice magnitudes and EMG signal of neck muscle is stronger than the relationship between human voice frequencies and EMG signal of neck muscle. Therefore, it is more appropriate to use the EMG signal of neck muscle for controlling loudness of electrolarynx than that of the pitch of electrolarynx.

Stock market investment and different behavioural patterns: an exploratory study

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Metin Argan ◽  
Güven Sevil ◽  
Abdullah Yalaman ◽  
Viktor Manahov
Keyword(s):  
Stock Market ◽  
Personality Traits ◽  
Emerging Economy ◽  
Current Paper ◽  
Market Data ◽  
Content Type ◽  
Stock Investment ◽  
Behavioural Patterns ◽  
Stock Market Investment ◽  
The Relationship

PurposeThe purpose of the research is to gain an understanding about how stock market investors impact various behavioural personality traits in various consumer groups with differing levels of motivation and capacity to absorb emerging stock market data.Design/methodology/approachThe research has used structural equation modelling (SEM) to test the validity of the theoretical model.FindingsThe current paper is the first study that uses stock market data from an emerging economy to examine the relationship between stock market investment and different behavioural patterns such as stock market attachment, trust, satisfaction and loyalty. The authors observe the presence of direct positive relationships between stock market investment and different behavioural personality traits. Moreover, the authors also observe that stock market attachment can be seen as an intermediary variable between stock investment involvement and satisfaction. The empirical findings also suggest the presence of indirect relationships between stock investment involvement and satisfaction and between stock market attachment and loyalty. The authors find that the indirect relationship between stock market attachment and loyalty occurs when the level of satisfaction is higher. Therefore, satisfaction appears to facilitate the relationship between stock market attachment and loyalty.Research limitations/implicationsOne major limitation of the study is data availability. More specifically, the study was conducted with customers of eight different banks in the province of Eskisehir, Turkey. From the 250 questionnaires distributed, 173 were returned, yielding a response rate of 69.2%.Practical implicationsBy identifying the trait characteristics of segments of stock market participants relative to their propensity to invest in stocks, it is possible to tailor messages that influence people to invest for the long term.Originality/valueThe paper deploys stock market data from an emerging economy to investigate the relationship between stock market investment and different surface traits such as stock market attachment, trust, satisfaction and loyalty. To the best of the authors' knowledge the current paper is the first such study.

scholarly journals Quantifying the relationship between diseases and symptoms using big data (Preprint)

2018 ◽  
Author(s):  
ShihHan Lin ◽  
Hsin Hui Shao
Keyword(s):  
Big Data ◽  
Sore Throat ◽  
Correlation Coefficient ◽  
Common Cold ◽  
Human Interaction ◽  
Number Of Patients ◽  
Data Points ◽  
The Common ◽  
The Relationship ◽  
Stuffy Nose

BACKGROUND Crises in endemic transmitted diseases affect humans worldwide, and the symptoms these diseases cause may provide firsthand information about these disorders. OBJECTIVE We suggest that massive new data sources resulting from human interaction with the Internet may offer a unique perspective on the relationship between illness and symptoms. METHODS By analyzing changes in Google query volumes for search terms related to disease, we find a pattern that may define the relationship between symptoms and disorders. We first retrieved pattern data from Google Trend using the common cold as the primary disease, and sore throat, stuffy nose, sneeze, fever, cough, and headache as symptoms. Pearson’s correlation coefficient was calculated using SPSS to determine the relationship between the symptoms and the disease. RESULTS Data created since 2013/1/13 was retrieved from Google Trend on a weekly basis. A total of 261 sets of data were calculated to create a high correlation coefficient of 0.925 between the common cold and the stuffy nose symptom. The cough symptom has the second highest correlation coefficient of 0.925, sore throat has a correlation coefficient of 0.853, and fever has a correlation coefficient of 0.626, which was significant at the 0.01 level in a two-tailed test. CONCLUSIONS Data on the relationship between diseases and symptoms often comes from facilities such as government, hospitals, and clinics, where the data is collected through the documentation of physicians and nurses. A conventional study can be limited by the region, the number of patients and the interpretation of the specialist. However, with access to Google Trend’s big data, millions or even billions of data points are accumulated directly from the patient. Another contribution of this study is that the quantified relationship between symptoms and diseases can be used to educate future physicians or even artificial intelligence.

scholarly journals Empirical Analysis of AH-Shares

2016 ◽  
Vol 4 (4) ◽  
pp. 343-353
Author(s):  
Hongxing Yao ◽  
Kejuan Zhou
Keyword(s):  
Stock Market ◽  
Correlation Coefficient ◽  
Minimum Spanning Tree ◽  
Stock Exchange ◽  
Financial Time Series ◽  
Dynamic Evolution ◽  
Chinese Stock Market ◽  
Coefficient Distribution ◽  
Industrial Sectors ◽  
The Difference

Abstract Recent studies of correlations in Chinese stock market have mainly focused on the static correlations in financial time series, and then we pay great attention to investigate their dynamic evolution of correlations. Our paper reports on topology of 41 AH-shares companies traded on Shanghai and Hong Kong Stock Exchange in Chinese stock market. We apply the concept of minimum spanning tree (MST) and hierarchical tree (HT) to analyze and reveal the dynamic evolution of correlations between different market sectors for the period 2008–2014. From these trees, we can detect that significantly industry clustering effects are in the stock network. We measure the linkage of different companies geared to different industrial sectors. We observe the evolution of AH-shares companies in the stock network based on the moving window technique and investigate the correlations by calculating the correlation coefficient distribution, mean correlation coefficient and mean distance of these companies with time. Therefore, through our analysis, we find that companies working in the same branch of production tend to make up cluster. The results present the difference and similarity between different industry sectors in different time periods.

ANALYSIS OF THE INFLUENCE OF DIMENSIONS OF THE ROPE MIDWATER TRAWLS ON THEIR PERFORMANCE SUBJECT TO GEOMETRIC PROPERTIES OF CONE SHELLS

2017 ◽  
pp. 25-33
Author(s):  
Alexander Vasilievich Dvernik
Keyword(s):  
Surface Properties ◽  
Conical Shell ◽  
Side Surface ◽  
Theoretic Analysis ◽  
Good Convergence ◽  
Large Size ◽  
Quality Coefficient ◽  
Geometric Quality ◽  
The Relationship ◽  
Parameters Calculation

The article studies different shell constructions of mid-water trawls and their properties. The problem settled is suggested to be solved taking into account real geometric interrelations between spacious and surface properties of cone shells. The author suggests to accept a so-called geometric quality coefficient as a criterion of the properties of a conical shell, which represents the ratio of the shell to the area of its side surface and by analogy to use it to the shell of the trawl. The relationship between the trawl dimensions and geometric quality coefficient have been studied. Comparing these figures with the actual characteristics of trawls showed good convergence. According to the results of theoretic analysis and parameters calculation, trawl large-size shells will always have advantages in geometric characteristics over mid-size and, especially, small-size shells. The results of the analysis can be used for approximate calculations of the parameters of the trawl and justification of ways to improve the performance of existing mid-water trawls.

IMPROVEMENT OF SPRING DURUM WHEAT SELECTION METHODOLOGIES UNDER CLIMATE CHANGE CONDITIONS

1970 ◽  
pp. 33-36
Author(s):  
А. I. Grabovets ◽  
V. P. Kadushkina ◽  
S. А. Kovalenko
Keyword(s):  
Grain Yield ◽  
Durum Wheat ◽  
Correlation Coefficient ◽  
Harvest Index ◽  
Unit Area ◽  
Correlation Coefficients ◽  
Chemical Mutagenesis ◽  
Main Method ◽  
The Relationship ◽  
Selection Of

With the growing aridity of the climate on the Don, it became necessary to improve the methodology for conducting the  breeding of spring durum wheat. The main method of obtaining the source material remains intraspecific step hybridization. Crossings were performed between genetically distant forms, differing in origin and required traits and properties. The use of chemical mutagenesis was a productive way to change the heredity of genotypes in terms of drought tolerance. When breeding for productivity, both in dry years of research and in favorable years, the most objective markers were identified — the size of the aerial mass, the mass of grain per plant, spike, and harvest index. The magnitude of the correlation coefficients between the yield per unit area and the elements of its structure is established. It was most closely associated with them in dry years, while in wet years it decreased. Power the correlation of the characteristics of the pair - the grain yield per square meter - the aboveground biomass averaged r = 0.73, and in dry years it was higher (0.91) than in favorable ones (0.61 - 0.70) , between the harvest and the harvest index - r = 0.81 (on average). In dry years, the correlation coefficient increased to 0.92. Research data confirms the greatest importance of the mass of grain from one ear and the plant in the formation of grain yield per unit area in both dry and wet years. In dry years, the correlation coefficient between yield and grain mass per plant was on average r = 0.80; in favorable years, r = 0.69. The relationship between yield and grain mass from the ear was greater — r = 0.84 and r = 0.82, respectively. Consequently, the breeding significance of the aboveground mass and the productivity of the ear, as a criterion for the selection of the crop, especially increases in the dry years. They were basic in the selection.

A FORECAST OF PRODUCTIVE LONGEVITY OF HOLSTEIN COWS BY INDIRECT SIGNS

2020 ◽  
Author(s):  
З.С. САНОВА
Keyword(s):  
Correlation Coefficient ◽  
Aging Process ◽  
Direct Relationship ◽  
Stability Index ◽  
Age At First Calving ◽  
Group I ◽  
Predicted Values ◽  
The Stability ◽  
Relationship Of ◽  
The Relationship

В статье представлены материалы о взаимосвязи продолжительности продуктивного использования коров с характеристикой устойчивости к деградации, с возрастом отела и удоем. В исследованной, разнородной по происхождению, группе животных для прогноза продуктивного периода коров, обусловленного устойчивостью к деградации и возрастом первого отела, пригодно уравнение регрессии, аргументами в котором являются индекс устойчивости, возраст первого отела в первой и второй степенях. Коэффициент корреляции межу предсказанными значениями продуктивного периода и его фактическими величинами в I группе составляет 0,502, во II - 0,604. При этом крайние варианты прогнозируются со статистическими ошибками 5 мес при оценке индекса устойчивости по 2 лактациям и 4,1 мес по 3, а средние варианты, соответственно, 1,6 и 1,51 мес. Индекс устойчивости к процессу старения является важной характеристикой биологических особенностей коров, определяющий их продуктивное долголетие. Его оценка по первым 2 и 3 лактациям имеет прямолинейную связь с продуктивным периодом (r=0,4109 и r=0,5270), соответственно. Зависимость продуктивного периода от возраста первого отела криволинейная — с увеличением возраста первого отела сокращается срок продуктивного использования, при возрасте первого отела более 1400 дней срок продуктивного использования колеблется от 1,33 до 1,41 лактации. Коэффициент корреляции между этими характеристиками коров составляет - 0,2164 в I и - 0,2620 во II группах. The article presents materials about the relationship of the duration of productive use of cows with the characteristic of resistance to degradation, with the age of calving and milk yield. In the studied group of animals, which is heterogeneous in origin, the regression equation is suitable for predicting the productive period of cows due to resistance to degradation and the age of the first calving, the arguments of which are the stability index, the age of the first calving in the first and second degrees. The correlation coefficient between the predicted values of the productive period and its actual values in group I is 0.502, in group II - 0.604. At the same time, the extreme variants are predicted with statistical errors of 5 months when evaluating the stability index for 2 lactations and 4.1 months for 3, and the average variants, respectively, are 1.6 and 1.51 months. The index of resistance to the aging process is an important characteristic of the biological characteristics of cows, which determines their productive longevity. Its estimate for the first 2 and 3 lactations has a direct relationship with the productive period (r=0.4109 and r=0.5270), respectively. The dependence of the productive period age at first calving curvilinear with increasing age at first calving reduces the time to productive use, while age at first calving of more than 1400 days, the period of productive use ranges from 1.33 to 1.41 lactation. The correlation coefficient between these characteristics of cows is-0.2164 in I and-0.2620 in II groups.

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