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Figure 3 | EPJ Data Science

Figure 3

From: Mapping individual behavior in financial markets: synchronization and anticipation

Figure 3

Measuring individual investors reaction to daily price fluctuations. (Top-left) From position time series of each investor i we determine the activity period \(A_{i}\). Instead of considering another investor, here we input the price time series p as the second numerical time series and proceed like in Fig. 1 for the symbolization process within that activity period. We compute Mutual Information \(I_{ip}\) and Transfer of Entropy \(T_{ip}\) between investor i and price p. Bootstrapping process is also applied here, to generate null distributions of \(I_{ip}^{\ast }\) and \(T_{ip}^{\ast }\) for standardizing original values, \(z(I_{ij})\) and \(z(T_{ij})\), and randomly selected null values \(z(I_{ij}^{\ast })\) and \(z(T_{ij}^{\ast })\). (Right) Distribution of standardized values of Mutual Information and Transfer of Entropy for original values (in purple area labelled “original”) and same null case values (white area labelled “shuffled”)

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