A summary: quantifying the complexity of financial markets using composite and multivariate multiscale entropy

DOI10.1007/978-981-15-8373-5_10zbMATH Open1460.91263OpenAlexW3128405681MaRDI QIDQ5855892FDOQ5855892

Authors Yunfan Lu, Zhiyong Zheng

Publication date 22 March 2021

Published in Financial Mathematics and Fintech (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-981-15-8373-5_10

zbMATH Keywords

financial marketsmultivariate multiscale entropycomposite multiscale entropycomplexity quantification

Mathematics Subject Classification ID

Financial markets (91G15) Measures of information, entropy (94A17)

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• Multivariate multiscale entropy of financial markets
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• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
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Cited in

(3)

• The complexity-entropy causality plane based on multiscale power spectrum entropy of financial time series
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• Multivariate multiscale entropy of financial markets

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