Multivariate generalized information entropy of financial time series

DOI10.1016/J.PHYSA.2019.04.029OpenAlexW2937739161WikidataQ128086155 ScholiaQ128086155MaRDI QIDQ2159676FDOQ2159676

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)

Cites Work

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Cited In (3)

• A unified view of transport equations
• Fractional generalization of entropy improves the characterization of rotors in simulated atrial fibrillation
• Modeling the flow of information between financial time-series by an entropy-based approach

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