Time irreversibility of financial time series based on higher moments and multiscale Kullback-Leibler divergence

DOI10.1016/J.PHYSA.2018.02.099MaRDI QIDQ2149128zbMATH OpenOpenAlexWikidataFDO

Authors Jinyang Li, Pengjian Shang

Publication date 28 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2018.02.099

zbMATH Keywords

financial time seriesirreversibilityhigh momentsmultiscale Kullback-Leibler divergence

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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