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

DOI10.1016/J.CHAOS.2020.110410zbMATH Open1498.62190OpenAlexW3111324599MaRDI QIDQ2129409FDOQ2129409

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

Recommendations

• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
• The complexity-entropy causality plane based on multiscale power spectrum entropy of financial time series
• Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum
• Cumulative Tsallis entropy based on power spectrum of financial time series
• Analysis of time series using a new entropy plane based on past entropy

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)

Cites Work

• Title not available (Why is that?)
• More on a new concept of entropy and information
• Cumulative Residual Entropy: A New Measure of Information
• Title not available (Why is that?)
• On measures of information and their characterizations
• \textit{Maxallent}: maximizers of all entropies and uncertainty of uncertainty
• Randomness and degrees of irregularity.
• Markov Processes and the H-Theorem

Cited In (2)

• The relative entropy in CGMY processes and its applications to finance
• Complex-valued Rényi entropy

This page was built for publication: Multiscale Rényi cumulative residual distribution entropy: reliability analysis of financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2129409)