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Entropy 2014, 16(8), 4443-4482; doi:10.3390/e16084443
Article

Structure of a Global Network of Financial Companies Based on Transfer Entropy

Jr.
Received: 16 May 2014; in revised form: 30 June 2014 / Accepted: 1 August 2014 / Published: 7 August 2014
(This article belongs to the Special Issue Transfer Entropy)
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Abstract: This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area, from 2003 to 2012. We study the causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can assess which companies influence others according to sub-areas of the financial sector, which are banks, diversified financial services, savings and loans, insurance, private equity funds, real estate investment companies, and real estate trust funds. We also analyze the exchange of information between those stocks as seen by Transfer Entropy and the network formed by them based on this measure, verifying that they cluster mainly according to countries of origin, and then by industry and sub-industry. Then we use data on the stocks of companies in the financial sector of some countries that are suffering the most with the current credit crisis, namely Greece, Cyprus, Ireland, Spain, Portugal, and Italy, and assess, also using Transfer Entropy, which companies from the largest 197 are most affected by the stocks of these countries in crisis. The aim is to map a network of influences that may be used in the study of possible contagions originating in those countries in financial crisis.
Keywords: financial markets; propagation of crises; transfer entropy financial markets; propagation of crises; transfer entropy
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Sandoval, L., Jr. Structure of a Global Network of Financial Companies Based on Transfer Entropy. Entropy 2014, 16, 4443-4482.

AMA Style

Sandoval L, Jr. Structure of a Global Network of Financial Companies Based on Transfer Entropy. Entropy. 2014; 16(8):4443-4482.

Chicago/Turabian Style

Sandoval, Leonidas, Jr. 2014. "Structure of a Global Network of Financial Companies Based on Transfer Entropy." Entropy 16, no. 8: 4443-4482.


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