Financial time series analysis based on fractional and multiscale permutation entropy

DOI10.1016/j.cnsns.2019.104880zbMath1476.91172OpenAlexW2951138942WikidataQ127710561 ScholiaQ127710561MaRDI QIDQ2206614

Pengjian Shang, Jinyang Li, Xuezheng Zhang

Publication date: 22 October 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.2019.104880

zbMATH Keywords

financial time seriesentropy planefractional permutation entropymultiscale fractional Jensen-Shannon divergencemultiscale fractional permutation entropy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional derivatives and integrals (26A33) Statistical aspects of information-theoretic topics (62B10) Financial markets (91G15)

Related Items (5)

Analysis and circuit implementation of fractional order multi-wing hidden attractors ⋮ Characterizing the statistical complexity of nonlinear time series via ordinal pattern transition networks ⋮ An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications ⋮ Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent ⋮ The Fisher-DisEn plane: a novel approach to distinguish different complex systems

Cites Work

• Recent history of fractional calculus
• Analysis of complex time series using refined composite multiscale entropy
• Multidimensional scaling analysis of the dynamics of a country economy
• Statistical analysis of financial networks
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Early warnings indicators of financial crises via auto regressive moving average models
• Permutation and weighted-permutation entropy analysis for the complexity of nonlinear time series
• Modified generalized sample entropy and surrogate data analysis for stock markets
• Numerical analysis of the initial conditions in fractional systems
• Approximate entropy as a measure of system complexity.
• A conditional entropy bound for a pair of discrete random variables

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