Permutation entropy analysis of financial time series based on Hill's diversity number

DOI10.1016/J.CNSNS.2017.05.003MaRDI QIDQ2007475zbMATH OpenOpenAlexFDO

Authors Yali Zhang, Pengjian Shang

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.2017.05.003

zbMATH Keywords

complexityfinancial time seriesHill's diversity numberpermutation entropy

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

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• Fractional differencing
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• Introduction to Econophysics
• Measurement of Diversity
• Modified generalized sample entropy and surrogate data analysis for stock markets
• Semi-analytic valuation of stock loans with finite maturity
• Species diversity and predation strategies in a multiple species predator-prey model
• Stable and generalized-\(t\) distributions and applications
• Statistical mechanics of complex networks
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(12)

• Permutation entropy: influence of amplitude information on time series classification performance
• Permutation transition entropy: measuring the dynamical complexity of financial time series
• Permutation entropy analysis based on Gini-Simpson index for financial time series
• Credit market jitters in the course of the financial crisis: a permutation entropy approach in measuring informational efficiency in financial assets
• Multivariate generalized information entropy of financial time series
• Permutation entropy as the measure of globalization process
• Financial time series analysis based on fractional and multiscale permutation entropy
• NF-CECP: a novel approach to distinguish signals with different properties via modified Fisher information measure
• Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics
• Generalized permutation entropy analysis based on the two-index entropic form \(S_{q,\delta}\)
• Characterizing dynamics of time series via Hill-index complexity measure
• The applications of sample entropy in stock stability analyses

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