Permutation entropy analysis based on Gini-Simpson index for financial time series

DOI10.1016/J.PHYSA.2017.05.059zbMath1499.91066OpenAlexW2620950473MaRDI QIDQ2146811

Jun Jiang, Pengjian Shang, Zuoquan Zhang, Xue-Mei Li

Publication date: 21 June 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2017.05.059

zbMATH Keywords

logistic mapfinancial time seriespermutation entropyGini-Simpson index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Uses Software

• FinTS

Cites Work

• Permutation entropy and its main biomedical and econophysics applications: a review
• Testing for nonlinearity in time series: the method of surrogate data
• Time series properties of an artificial stock market
• Microeconomic Models for Long Memory in the Volatility of Financial Time Series
• Nonlinear Time Series Analysis
• Entropy-based algorithms for best basis selection
• Permutation Entropy and Order Patterns in Long Time Series
• Analysis of Financial Time Series
• Measurement of Diversity

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