Multivariate multiscale entropy of financial markets

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• Multivariate multiscale entropy of financial markets

DOI10.1016/J.CNSNS.2017.04.028MaRDI QIDQ2007428zbMATH OpenOpenAlexFDO

Authors Yunfan Lu, Jun Wang

Publication date 14 October 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2017.04.028

zbMATH Keywords

globe stock marketmultivariate multiscale entropy analysismultivariate volatility seriesnonlinear complexity behaviorshuffled multivariate return

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Dynamical systems and ergodic theory (37-XX)

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Cites work

• scientific article; zbMATH DE number 1042219 (Why is no real title available?)
• scientific article; zbMATH DE number 1373207 (Why is no real title available?)
• A note on shuffled financial surrogates
• Analysis of temperature time-series: embedding dynamics into the MDS method
• Bearing fault diagnosis based on multiscale permutation entropy and support vector machine
• Dynamics from multivariate time series
• Introduction to Econophysics
• Lattice-oriented percolation system applied to volatility behavior of stock market
• Long-Term Memory in Stock Market Prices
• Multiscale entropy analysis of human gait dynamics
• NONLINEAR TIME SEQUENCE ANALYSIS
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS

Cited in

(10)

• Multiscale sample entropy and cross-sample entropy based on symbolic representation and similarity of stock markets
• Levels of complexity in financial markets
• A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation
• Multivariate multiscale fractional order weighted permutation entropy of nonlinear time series
• Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
• Disturbances and complexity in volatility time series
• Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 index
• Multivariate multiscale complexity-entropy causality plane analysis for complex time series
• The relative entropy in CGMY processes and its applications to finance
• A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy

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