Multivariate generalized information entropy of financial time series

DOI10.1016/J.PHYSA.2019.04.029MaRDI QIDQ2159676zbMATH OpenOpenAlexWikidataFDO

Authors Yongping Zhang, Pengjian Shang, Hui Xiong

Publication date 2 August 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.04.029

zbMATH Keywords

multivariatefinancial time seriesmultiscalefractional order generalized entropy

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 3143967 (Why is no real title available?)
• scientific article; zbMATH DE number 1865707 (Why is no real title available?)
• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
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• Approximating fractional derivatives through the generalized mean
• Entropies based on fractional calculus
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• Fractional coins and fractional derivatives
• Generalized permutation entropy analysis based on the two-index entropic form \(S_{q,\delta}\)
• Information Theory and Statistical Mechanics
• Modeling traffic flow correlation using DFA and DCCA
• Nonlinear Time Series Analysis
• On the phase space approach to complexity
• Permutation and weighted-permutation entropy analysis for the complexity of nonlinear time series
• Permutation entropy analysis of financial time series based on Hill's diversity number
• Testing time reversibility without moment restrictions
• Time series analysis using composite multiscale entropy
• Time-reversibility of linear stochastic processes

Cited in

(4)

• Fractional generalization of entropy improves the characterization of rotors in simulated atrial fibrillation
• Generalized Shannon-Fisher index: an effective method to quantify the instability of multivariate time series
• Modeling the flow of information between financial time-series by an entropy-based approach
• A unified view of transport equations

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