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

DOI10.1016/J.PHYSA.2018.02.099OpenAlexW2789955418WikidataQ130153932 ScholiaQ130153932MaRDI QIDQ2149128

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

irreversibilityfinancial time serieshigh momentsmultiscale Kullback-Leibler divergence

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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