We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to determine,...

We analyze intraday model-free implied volatility for a large sample of individual equities. For that purpose we adapt the CBOE VIX methodology and derive an intraday measure based on 1-minute option data. Within a review of the model-free IV theory and CBOE replication methodology we highlight...

We apply the concept of transfer entropy to quantify information flows between financial time series. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. This approach allows to determine information transfer without being restricted to...