Modified generalized sample entropy and surrogate data analysis for stock markets

DOI10.1016/J.CNSNS.2015.10.023MaRDI QIDQ2199610zbMATH OpenOpenAlexFDO

Authors Mengjia Xu, Pengjian Shang, Jingjing 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

complexityHausdorff distancesample entropystock market

Mathematics Subject Classification ID

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

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Cites work

• Adaptive computation of multiscale entropy and its application in EEG signals for monitoring depth of anesthesia during surgery
• Analysis of Financial Time Series
• Computing the Hausdorff set distance in linear time for any \(L_ p\) point distance
• Early warnings indicators of financial crises via auto regressive moving average models
• Generalized permutation entropy analysis based on the two-index entropic form \(S_{q,\delta}\)
• Hybrid image matching combining Hausdorff distance with normalized gradient matching
• Introduction to Econophysics
• Introduction to Nonextensive Statistical Mechanics
• Long-range correlations and nonstationarity in the Brazilian stock market
• Multiscale entropy analysis of human gait dynamics
• Possible generalization of Boltzmann-Gibbs statistics.
• Robust Hausdorff distance measure for face recognition
• Semi-analytic valuation of stock loans with finite maturity
• Statistical analysis of financial networks
• Statistical mechanics of complex networks
• Time series analysis using composite multiscale entropy
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Weighted multifractal cross-correlation analysis based on Shannon entropy

Cited in

(11)

• Surrogate data for hypothesis testing of physical systems
• Permutation entropy analysis of financial time series based on Hill's diversity number
• Sample entropy and surrogate data analysis for Alzheimer's disease
• Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 index
• 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
• Improvement of complexity measure method and its application to the stock exchange market
• An improvement of the present complexity theory and its application to the stock exchange market
• The applications of sample entropy in stock stability analyses
• The shifted wavelet (q,q')-entropy and the classification of stationary fractal signals

Describes a project that uses

Uses Software

• FinTS

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