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

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zbMATH Keywords

multivariatefinancial time seriesmultiscalefractional order generalized entropy

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Modeling traffic flow correlation using DFA and DCCA
• Information Theory and Statistical Mechanics
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• Nonlinear Time Series Analysis
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• Testing time reversibility without moment restrictions
• Time-reversibility of linear stochastic processes
• Entropy analysis of integer and fractional dynamical systems
• Entropies based on fractional calculus
• Time series analysis using composite multiscale entropy
• Approximating fractional derivatives through the generalized mean
• Fractional coins and fractional derivatives
• Analysis of complex time series using refined composite multiscale entropy
• 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
• Generalized permutation entropy analysis based on the two-index entropic form \(S_{q,\delta}\)

Cited In (4)

• Generalized Shannon-Fisher index: an effective method to quantify the instability of multivariate time series
• 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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