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Entropy measures in their various incarnations play an important role in thestudy of stochastic time series providing important insights into both thecorrelative and the causative structure of the stochastic relationships betweenthe individual components of a system. Recent applications of entropictechniques and their linear progenitors such as Pearson correlations andGranger causality have have included both normal as well as critical periods ina system's dynamical evolution. Here I measure the entropy, Pearson correlationand transfer entropy of the intra-day price changes of the Dow Jones IndustrialAverage in the period immediately leading up to and including the Asianfinancial crisis and subsequent mini-crash of the DJIA on the 27th October1997. I use a novel variation of transfer entropy that dynamically adjusts tothe arrival rate of individual prices and does not require the binning of datato show that quite different relationships emerge from those given by theconventional Pearson correlations between equities. These preliminary resultsillustrate how this modified form of the TE compares to results using Pearsoncorrelation.

Entropy and Transfer Entropy: The Dow Jones and the build up to the 1997 Asian Crisis