Correlations between two time series, including the linear Pearson correlation and the nonlinear transfer entropy, have … a time delay and a rolling window. In most cases, the Pearson correlation and transfer entropy share the same tendency … correlation provides less. Considering the computational complexity of the transfer entropy and the simplicity of the Pearson …

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …

fundamental analysis to trade in two different stock markets. Speculators’ strategy/market selections are repeated at each time …