References
Alanyali, M., H. S. Moat, and T. Preis. 2013. “Quantifying the Relationship Between Financial News and the Stock Market.” Sci. Rep. 3.
Antweiler, Werner, and Murray Z. Frank. 2004. “Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards.” Journal of Finance 59 (3): 1259–94.
Aste, Tomaso, W. Shaw, and Tiziana Di Matteo. 2010. “Correlation Structure and Dynamics in Volatile Markets.” New Journal of Physics 12 (8). IOP Publishing: 085009.
Bardoscia, Marco, Stefano Battiston, Fabio Caccioli, and Guido Caldarelli. 2017. “Pathways Towards Instability in Financial Networks.” Nature Communications 8. Nature Publishing Group: 14416.
Barnett, Lionel, Adam B. Barrett, and Anil K. Seth. 2009. “Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables.” Phys. Rev. Lett. 103 (23). American Physical Society: 238701. doi:10.1103/PhysRevLett.103.238701.
Behrendt, Simon, David Zimmermann, Thomas Dimpfl, and Franziska Peter. 2019. RTransferEntropy: Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy. https://CRAN.R-project.org/package=RTransferEntropy.
Curme, Chester, H Eugene Stanley, and Irena Vodenska. 2015. “Coupled Network Approach to Predictability of Financial Market Returns and News Sentiments.” International Journal of Theoretical and Applied Finance 18 (07). World Scientific Publishing Company: 1550043.
Fama, E. F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance 25 (2). Blackwell Publishing Ltd: 383–417. doi:10.1111/j.1540-6261.1970.tb00518.x.
Granger, Clive. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37 (3): 424–38.
Hlavackovaschindler, K., M. Palus, M. Vejmelka, and J. Bhattacharya. 2007. “Causality Detection Based on Information-Theoretic Approaches in Time Series Analysis.” Physics Reports 441 (1): 1–46. doi:10.1016/j.physrep.2006.12.004.
Johnson, Richard. 2019. “Demystifying Alternative Data.” https://www.greenwich.com/asset-management/demystifying-alternative-data; Greenwich Associates.
Junior, Leonidas, Asher Mullokandov, and Dror Kenett. 2015. “Dependency Relations Among International Stock Market Indices.” Journal of Risk and Financial Management 8 (2). Multidisciplinary Digital Publishing Institute: 227–65.
Keskin, Z, and T Aste. 2019. “Information-Theoretic Measures for Non-Linear Causality Detection: Application to Social Media Sentiment and Cryptocurrency Prices.” arXiv Preprint arXiv:1906.05740.
Li, Yan, Xiong-Fei Jiang, Yue Tian, Sai-Ping Li, and Bo Zheng. 2018. “Portfolio Optimization Based on Network Topology.” Physica A: Statistical Mechanics and Its Applications. doi:https://doi.org/10.1016/j.physa.2018.10.014.
Mantegna, R. N. 1999. “Hierarchical Structure in Financial Markets.” The European Physical Journal B - Condensed Matter and Complex Systems 11 (1): 193–97. doi:10.1007/s100510050929.
Michalowicz, Joseph Victor, Jonathan M. Nichols, and Frank Bucholtz. 2013. Handbook of Differential Entropy. Chapman & Hall/CRC.
Montalto, Luca AND Marinazzo, Alessandro AND Faes. 2014. “MuTE: A Matlab Toolbox to Compare Established and Novel Estimators of the Multivariate Transfer Entropy.” PLoS ONE 9 (10). Public Library of Science: e109462. doi:10.1371/journal.pone.0109462.
Morales, Raffaello, Tiziana Di Matteo, Ruggero Gramatica, and Tomaso Aste. 2012. “Dynamical Generalized Hurst Exponent as a Tool to Monitor Unstable Periods in Financial Time Series.” Physica A: Statistical Mechanics and Its Applications 391 (11). North-Holland: 3180–9.
Musmeci, Nicoló, Tomaso Aste, and Tiziana di Matteo. 2014. “Clustering and Hierarchy of Financial Markets Data: Advantages of the Dbht.” CoRR.
Pozzi, Francesco, Tiziana Di Matteo, and Tomaso Aste. 2013. “Spread of Risk Across Financial Markets: Better to Invest in the Peripheries.” Scientific Reports 3. Nature Publishing Group.
Ranco, D. AND Caldarelli, G. AND Aleksovski. 2015. “The Effects of Twitter Sentiment on Stock Price Returns.” PLoS ONE 10 (9). Public Library of Science: e0138441. doi:10.1371/journal.pone.0138441.
Raymond McTaggart, Gergely Daroczi, and Clement Leung. 2019. Quandl: API Wrapper for Quandl.com. https://CRAN.R-project.org/package=Quandl.
Schreiber, Thomas. 2000. “Measuring Information Transfer.” Phys. Rev. Lett. 85 (2). American Physical Society: 461–64. doi:10.1103/PhysRevLett.85.461.
Scott, D.W. 1992. Multivariate Density Estimation: Theory, Practice, and Visualization. A Wiley-Interscience Publication. Wiley.
Sheather, S. J., and M. C. Jones. 1991. “A Reliable Data-Based Bandwidth Selection Method for Kernel Density Estimation.” Journal of the Royal Statistical Society. Series B (Methodological) 53 (3). Blackwell Publishing for the Royal Statistical Society: pp. 683–90.
Shleifer, A. 2000. Inefficient Markets: An Introduction to Behavioral Finance. Clarendon Lectures in Economics. OUP Oxford.
Silverman, B. W., and P. J. Green. 1986. Density Estimation for Statistics and Data Analysis. London: Chapman; Hall.
Song, W.-M., T. Aste, and T. Di Matteo. 2008. “Analysis on Filtered Correlation Graph for Information Extraction.” Statistical Mechanics of Molecular Biophysics, 88.
Song, W.-M., T. Di Matteo, and T. Aste. 2012. “Hierarchical Information Clustering by Means of Topologically Embedded Graphs.” PLoS One 7 (3). Public Library of Science: e31929.
Souza, T. T. P., and T. Aste. 2016. “A nonlinear impact: evidences of causal effects of social media on market prices.” ArXiv E-Prints. Http://Arxiv.org/Abs/1601.04535, January. arXiv preprint. http://arxiv.org/abs/1601.04535.
Tumminello, M., T. Aste, T. Di Matteo, and R. N. Mantegna. 2005. “A Tool for Filtering Information in Complex Systems.” Proceedings of the National Academy of Sciences of the United States of America 102 (30): 10421–6. doi:10.1073/pnas.0500298102.
Tumminello, Michele, Fabrizio Lillo, and Rosario N. Mantegna. 2010. “Correlation, Hierarchies, and Networks in Financial Markets.” Journal of Economic Behavior & Organization 75 (1): 40–58. doi:http://dx.doi.org/10.1016/j.jebo.2010.01.004.
Tumminello, Salvatore AND Lillo, Michele AND Miccichè. 2011. “Statistically Validated Networks in Bipartite Complex Systems.” PLoS ONE 6 (3). Public Library of Science: 1–11. doi:10.1371/journal.pone.0017994.
Vinicius, Ze, and Daniel P. Palomar. 2019. RiskParityPortfolio: Design of Risk Parity Portfolios. https://CRAN.R-project.org/package=riskParityPortfolio.
Wickham, Hadley, and Garrett Grolemund. 2017. R for Data Science: Import, Tidy, Transform, Visualize, and Model Data. 1st ed. O’Reilly Media, Inc.
Wiener, N. 1956. “The theory of prediction.” In Modern Mathematics for Engineers, edited by E. F. Beckenbach. McGraw-Hill, New York.
Zheludev, I., R. Smith, and T. Aste. 2014. “When Can Social Media Lead Financial Markets?” Scientific Reports 4 (February).