Fractional Transfer Entropy Networks: Short- and Long-Memory Perspectives on Global Stock Market Interactions

Fractional Transfer Entropy Networks: Short- and Long-Memory Perspectives on Global Stock Market Interactions

This study addresses the challenge of capturing both short-run volatility and long-run dependencies in global stock markets by introducing fractional transfer entropy (FTE), a new framework that embeds fractional calculus into transfer entropy. FTE allows analysts to tune memory parameters and thus...

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Bibliographic Details
Main Authors: Ömer Akgüller, Mehmet Ali Balcı, Larissa Margareta Batrancea, Lucian Gaban
Format: Article
Language:English
Published: MDPI AG 2025-01-01
Series:Fractal and Fractional
Subjects:
fractional calculus
transfer entropy
financial networks
network communities
global markets
Online Access:https://www.mdpi.com/2504-3110/9/2/69
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