{"id":"https://openalex.org/W2960327436","doi":"https://doi.org/10.1007/s10479-019-03319-7","title":"Modeling the flow of information between financial time-series by an entropy-based approach","display_name":"Modeling the flow of information between financial time-series by an entropy-based approach","publication_year":2019,"publication_date":"2019-07-17","ids":{"openalex":"https://openalex.org/W2960327436","doi":"https://doi.org/10.1007/s10479-019-03319-7","mag":"2960327436"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-019-03319-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-019-03319-7","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066071482","display_name":"Francesco Benedetto","orcid":"https://orcid.org/0000-0002-9203-1642"},"institutions":[{"id":"https://openalex.org/I119003972","display_name":"Roma Tre University","ror":"https://ror.org/05vf0dg29","country_code":"IT","type":"education","lineage":["https://openalex.org/I119003972"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"F. Benedetto","raw_affiliation_strings":["Signal Processing for Telecommunications and Economics Lab, \u201cRoma Tre\u201d University, Via Vito Volterra 62, 00146, Rome, Italy","Signal Processing for Telecommunications and Economics Lab, \"Roma Tre\" University, Via Vito Volterra 62, 00146, Rome, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Signal Processing for Telecommunications and Economics Lab, \u201cRoma Tre\u201d University, Via Vito Volterra 62, 00146, Rome, Italy","institution_ids":["https://openalex.org/I119003972"]},{"raw_affiliation_string":"Signal Processing for Telecommunications and Economics Lab, \"Roma Tre\" University, Via Vito Volterra 62, 00146, Rome, Italy","institution_ids":["https://openalex.org/I119003972"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078186819","display_name":"Loretta Mastroeni","orcid":"https://orcid.org/0000-0001-8926-8924"},"institutions":[{"id":"https://openalex.org/I119003972","display_name":"Roma Tre University","ror":"https://ror.org/05vf0dg29","country_code":"IT","type":"education","lineage":["https://openalex.org/I119003972"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"L. Mastroeni","raw_affiliation_strings":["Department of Economics, \u201cRoma Tre\u201d University, Via Silvio D\u2019Amico 77, 00145, Rome, Italy","Department of Economics, \"Roma Tre\" University, Via Silvio D'Amico 77, 00145, Rome, Italy"],"raw_orcid":"https://orcid.org/0000-0001-8926-8924","affiliations":[{"raw_affiliation_string":"Department of Economics, \u201cRoma Tre\u201d University, Via Silvio D\u2019Amico 77, 00145, Rome, Italy","institution_ids":["https://openalex.org/I119003972"]},{"raw_affiliation_string":"Department of Economics, \"Roma Tre\" University, Via Silvio D'Amico 77, 00145, Rome, Italy","institution_ids":["https://openalex.org/I119003972"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066664813","display_name":"Pierluigi Vellucci","orcid":"https://orcid.org/0000-0002-4152-8341"},"institutions":[{"id":"https://openalex.org/I119003972","display_name":"Roma Tre University","ror":"https://ror.org/05vf0dg29","country_code":"IT","type":"education","lineage":["https://openalex.org/I119003972"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"P. Vellucci","raw_affiliation_strings":["Department of Economics, \u201cRoma Tre\u201d University, Via Silvio D\u2019Amico 77, 00145, Rome, Italy","Department of Economics, \"Roma Tre\" University, Via Silvio D'Amico 77, 00145, Rome, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, \u201cRoma Tre\u201d University, Via Silvio D\u2019Amico 77, 00145, Rome, Italy","institution_ids":["https://openalex.org/I119003972"]},{"raw_affiliation_string":"Department of Economics, \"Roma Tre\" University, Via Silvio D'Amico 77, 00145, Rome, Italy","institution_ids":["https://openalex.org/I119003972"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5066071482"],"corresponding_institution_ids":["https://openalex.org/I119003972"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":10.973,"has_fulltext":false,"cited_by_count":28,"citation_normalized_percentile":{"value":0.9800004,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":96,"max":99},"biblio":{"volume":"299","issue":"1-2","first_page":"1235","last_page":"1252"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9923999905586243,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9686999917030334,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6074494123458862},{"id":"https://openalex.org/keywords/entropy","display_name":"Entropy (arrow of time)","score":0.5761845111846924},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5050156712532043},{"id":"https://openalex.org/keywords/mutual-information","display_name":"Mutual information","score":0.4620489478111267},{"id":"https://openalex.org/keywords/transfer-entropy","display_name":"Transfer entropy","score":0.4540248513221741},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4436875283718109},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.43960097432136536},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.4269113540649414},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.4194238483905792},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4010111689567566},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.35267454385757446},{"id":"https://openalex.org/keywords/principle-of-maximum-entropy","display_name":"Principle of maximum entropy","score":0.18048438429832458},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.08871901035308838}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6074494123458862},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.5761845111846924},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5050156712532043},{"id":"https://openalex.org/C152139883","wikidata":"https://www.wikidata.org/wiki/Q252973","display_name":"Mutual information","level":2,"score":0.4620489478111267},{"id":"https://openalex.org/C182049051","wikidata":"https://www.wikidata.org/wiki/Q17147155","display_name":"Transfer entropy","level":3,"score":0.4540248513221741},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4436875283718109},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.43960097432136536},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.4269113540649414},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.4194238483905792},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4010111689567566},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.35267454385757446},{"id":"https://openalex.org/C9679016","wikidata":"https://www.wikidata.org/wiki/Q1417473","display_name":"Principle of maximum entropy","level":2,"score":0.18048438429832458},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.08871901035308838},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10479-019-03319-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-019-03319-7","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03319-7","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-019-03319-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:iris.uniroma3.it:11590/353480","is_oa":false,"landing_page_url":"https://hdl.handle.net/11590/353480","pdf_url":null,"source":{"id":"https://openalex.org/S4377196120","display_name":"Iris (Roma Tre University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I119003972","host_organization_name":"Roma Tre University","host_organization_lineage":["https://openalex.org/I119003972"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":52,"referenced_works":["https://openalex.org/W1496923911","https://openalex.org/W1556911442","https://openalex.org/W1570877745","https://openalex.org/W1671005905","https://openalex.org/W1712777634","https://openalex.org/W1963535159","https://openalex.org/W1975612632","https://openalex.org/W1977828379","https://openalex.org/W1988463681","https://openalex.org/W1994053385","https://openalex.org/W1994514845","https://openalex.org/W2015699392","https://openalex.org/W2017666796","https://openalex.org/W2018490621","https://openalex.org/W2018876117","https://openalex.org/W2032301335","https://openalex.org/W2040808840","https://openalex.org/W2054062736","https://openalex.org/W2059712296","https://openalex.org/W2068962514","https://openalex.org/W2099111195","https://openalex.org/W2107802909","https://openalex.org/W2108786107","https://openalex.org/W2112376992","https://openalex.org/W2134699842","https://openalex.org/W2141495054","https://openalex.org/W2149218774","https://openalex.org/W2151915375","https://openalex.org/W2181691424","https://openalex.org/W2195337249","https://openalex.org/W2205949152","https://openalex.org/W2277691540","https://openalex.org/W2324114195","https://openalex.org/W2326609896","https://openalex.org/W2332959600","https://openalex.org/W2344454021","https://openalex.org/W2466448796","https://openalex.org/W2550656395","https://openalex.org/W2552885812","https://openalex.org/W2591620585","https://openalex.org/W2604207036","https://openalex.org/W2745256623","https://openalex.org/W2763927359","https://openalex.org/W3122737497","https://openalex.org/W3124148194","https://openalex.org/W3124585766","https://openalex.org/W3125348131","https://openalex.org/W4249058433","https://openalex.org/W4285719527","https://openalex.org/W6629474112","https://openalex.org/W6674851815","https://openalex.org/W6820230412"],"related_works":["https://openalex.org/W2036846997","https://openalex.org/W2112223184","https://openalex.org/W2347586617","https://openalex.org/W2115702840","https://openalex.org/W2161963661","https://openalex.org/W2165061339","https://openalex.org/W2125614474","https://openalex.org/W4379381651","https://openalex.org/W2295845123","https://openalex.org/W2358054814"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":9},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":6}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}