Financial time series analysis using Total-CApEn and Avg-CApEn with cumulative histogram matrix

DOI10.1016/J.CNSNS.2018.03.016MaRDI QIDQ2207945zbMATH OpenOpenAlexFDO

Authors Jinyang Li, Pengjian Shang

Publication date 23 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.2018.03.016

zbMATH Keywords

average cross-approximate entropycumulative histogram methodfinancial time seriestotal cross-approximate entropy

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A conditional entropy bound for a pair of discrete random variables
• Algorithms of maximum likelihood data clustering with applications
• Approximate entropy as a measure of system complexity.
• Approximate Entropy as an Irregularity Measure for Financial Data
• Collective behavior of stock price movements - a random matrix theory approach
• Diversified portfolios with different entropy measures
• Fractional differencing
• Identifiability of linear and nonlinear dynamical systems
• Modified generalized sample entropy and surrogate data analysis for stock markets
• Nonlinear dynamics and global indeterminacy in an overlapping generations model with environmental resources
• Numerical Viscosity and the Entropy Condition for Conservative Difference Schemes
• Random matrix theory analysis of cross-correlations in the US stock market: evidence from Pearson's correlation coefficient and detrended cross-correlation coefficient
• Semi-analytic valuation of stock loans with finite maturity
• The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
• Weighted multifractal cross-correlation analysis based on Shannon entropy

Cited in

(3)

• Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
• A novel approach of dependence measure for complex signals
• Multi time-delay fuzzy dispersion network analysis of nonlinear time series

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