Modified generalized sample entropy and surrogate data analysis for stock markets

DOI10.1016/j.cnsns.2015.10.023OpenAlexW1831355800MaRDI QIDQ2199610

Pengjian Shang, Mengjia Xu, Jing-Jing Huang

Publication date: 11 September 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2015.10.023

zbMATH Keywords

complexitystock marketHausdorff distancesample entropy

Mathematics Subject Classification ID

Statistics (62-XX) Dynamical systems and ergodic theory (37-XX)

Related Items (6)

Surrogate data for hypothesis testing of physical systems ⋮ Financial time series analysis based on fractional and multiscale permutation entropy ⋮ Financial time series analysis using Total-CApEn and Avg-CApEn with cumulative histogram matrix ⋮ Efficient synchronization estimation for complex time series using refined cross-sample entropy measure ⋮ Permutation entropy analysis of financial time series based on Hill's diversity number ⋮ Sample entropy and surrogate data analysis for Alzheimer's disease

Uses Software

• FinTS

Cites Work

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• Generalized permutation entropy analysis based on the two-index entropic form Sq,δ
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• Analysis of Financial Time Series

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