Inferring Weighted Directed Association Network from Multivariate Time Series with a Synthetic Method of Partial Symbolic Transfer Entropy Spectrum and Granger Causality

Information Transfer between Stock Market Sectors: A Comparison between the USA and China

Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flow from one sector to another is measured by the transfer entropy of the daily returns of the two sector indices. We find that the most active sector in information exchange (i.e., the largest total information inflow and outflow) is the non-bank financial sector in the Chinese market and the technology sector in the USA market. This is consistent with the role of the non-bank sector in corporate financing in China and the impact of technological innovation in the USA. In each market, the most active sector is also the largest information sink that has the largest information inflow (i.e., inflow minus outflow). In contrast, we identify that the main information source is the bank sector in the Chinese market and the energy sector in the USA market. In the case of China, this is due to the importance of net bank lending as a signal of corporate activity and the role of energy pricing in affecting corporate profitability. There are sectors such as the real estate sector that could be an information sink in one market but an information source in the other, showing the complex behavior of different markets. Overall, these findings show that stock markets are more synchronized, or ordered, during periods of turmoil than during periods of stability.

Information-theoretic approach to detect directional information flow in EEG signals induced by TMS

Effective connectivity analysis has been widely applied to noninvasive recordings such as functional magnetic resonance imaging and electroencephalograms (EEGs). Previous studies have aimed to extract the causal relations between brain regions, but the validity of the derived connectivity has not yet been fully determined. This is because it is generally difficult to identify causality in the usual experimental framework based on observations alone. Transcranial magnetic stimulation (TMS) provides a framework in which a controllable perturbation is applied to a local brain region and the effect is examined by comparing the neural activity with and without this stimulation. This study evaluates two methods for effective connectivity analysis, symbolic transfer entropy (STE) and vector autoregression (VAR), by applying them to TMS-EEG data. In terms of the consistency of results from different experimental sessions, STE is found to yield robust results irrespective of sessions, whereas VAR produces less correlation between sessions. Furthermore, STE preferentially detects the directional information flow from the TMS target. Taken together, our results suggest that STE is a reliable method for detecting the effect of TMS, implying that it would also be useful for identifying neural activity during cognitive tasks and resting states.

Optimal information networks: Application for data-driven integrated health in populations

Development of composite indicators for integrated health in populations typically relies on a priori assumptions rather than model-free, data-driven evidence. Traditional variable selection processes tend not to consider relatedness and redundancy among variables, instead considering only individual correlations. In addition, a unified method for assessing integrated health statuses of populations is lacking, making systematic comparison among populations impossible. We propose the use of maximum entropy networks (MENets) that use transfer entropy to assess interrelatedness among selected variables considered for inclusion in a composite indicator. We also define optimal information networks (OINs) that are scale-invariant MENets, which use the information in constructed networks for optimal decision-making. Health outcome data from multiple cities in the United States are applied to this method to create a systemic health indicator, representing integrated health in a city.