Theory and applications of financial chaos index

DOI10.1016/J.PHYSA.2021.126160MaRDI QIDQ2070531zbMATH OpenOpenAlexFDO

Authors Masoud Ataei, Shengyuan Chen, M. Reza Peyghami, Zijiang Yang

Publication date 24 January 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.02288

zbMATH Keywords

econophysicspairwise comparisonsstock market segmentationtensor decompositionstransfer entropyVIX

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A fast fractional difference algorithm
• A kernel multiple change-point algorithm via model selection
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
• A scaling method for priorities in hierarchical structures
• An online kernel change detection algorithm
• Approximate entropy as a measure of system complexity.
• Approximate Entropy as an Irregularity Measure for Financial Data
• Elements of Information Theory
• scientific article; zbMATH DE number 192975 (Why is no real title available?)
• scientific article; zbMATH DE number 6850654 (Why is no real title available?)
• scientific article; zbMATH DE number 1439714 (Why is no real title available?)
• Intransitive Individual Indifference and Transitive Majorities
• Intransitive social indifference and the Arrow dilemma
• Introduction to the analytic hierarchy process
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Models, methods, concepts \& applications of the analytic hierarchy process
• Nonstationarity-extended local Whittle estimation
• Nonstationary cointegration in the fractionally cointegrated VAR Model
• On permanents of (1,-1)-matrices
• Permanents of matrices over roots of unity
• Practical decision making using super decisions v3. An introduction to the analytic hierarchy process
• Social choice and individual values
• Testing the CVAR in the fractional CVAR model
• The condition numbers of the matrix eigenvalue problem
• The relation between Granger causality and directed information theory: a review
• The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
• What is relative measurement! The ratio scale phantom

Cited in

(1)

• A NEW APPROACH TO TESTING FOR CHAOS, WITH APPLICATIONS IN FINANCE AND ECONOMICS

Describes a project that uses

Uses Software

• Matlab
• RTransferEntropy

This page was built for publication: Theory and applications of financial chaos index

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2070531)