Uncertainty of financial time series based on discrete fractional cumulative residual entropy

DOI10.1063/1.5091545zbMath1433.62272WikidataQ91058241 ScholiaQ91058241MaRDI QIDQ4972980

Pengjian Shang, Boyi Zhang

Publication date: 29 November 2019

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.5091545

zbMATH Keywords

financial time series; fractional cumulative residual entropy

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

94A17: Measures of information, entropy