Modified cross sample entropy and surrogate data analysis method for financial time series

DOI10.1016/j.physa.2015.03.055zbMath1400.62242OpenAlexW2034696543MaRDI QIDQ1618520

Pengjian Shang, Yi Yin

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.03.055

zbMATH Keywords

financial time seriessurrogate data analysismodified cross-sample entropy (MCSE)multifractal detrended cross-correlation analysis (MF-DCCA)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (3)

Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods ⋮ Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis ⋮ Efficient synchronization estimation for complex time series using refined cross-sample entropy measure

Cites Work

• Unnamed Item
• Multifractal detrended fluctuation analysis of nonstationary time series
• Testing for nonlinearity in time series: the method of surrogate data
• Possible generalization of Boltzmann-Gibbs statistics.
• MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
• MULTIFRACTAL DETRENDED CROSS-CORRELATION ANALYSIS OF CHINESE STOCK MARKETS BASED ON TIME DELAY
• Introduction to Nonextensive Statistical Mechanics
• Fractional differencing
• Randomness and degrees of irregularity.

This page was built for publication: Modified cross sample entropy and surrogate data analysis method for financial time series