Multiscale Rényi cumulative residual distribution entropy: reliability analysis of financial time series

DOI10.1016/J.CHAOS.2020.110410MaRDI QIDQ2129409zbMATH OpenOpenAlexFDO

Authors Meng Xu, Pengjian Shang, Sheng Zhang

Publication date 22 April 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2020.110410

zbMATH Keywords

complexityfinancial time seriesmultiscalereliability analysisRényi cumulative residual distribution entropy

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3173999 (Why is no real title available?)
• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
• Cumulative Residual Entropy: A New Measure of Information
• Markov Processes and the H-Theorem
• More on a new concept of entropy and information
• On measures of information and their characterizations
• Randomness and degrees of irregularity.
• \textit{Maxallent}: maximizers of all entropies and uncertainty of uncertainty

Cited in

(5)

• Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum
• Uncertainty of financial time series based on discrete fractional cumulative residual entropy
• An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications
• The relative entropy in CGMY processes and its applications to finance
• Complex-valued Rényi entropy

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