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

DOI10.1007/978-981-15-8373-5_10MaRDI QIDQ5855892zbMATH OpenOpenAlexFDO

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

complexity quantificationcomposite multiscale entropyfinancial marketsmultivariate multiscale entropy

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
• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• Theory of Financial Risk and Derivative Pricing
• Time series analysis using composite multiscale entropy
• Understanding the cubic and half-cubic laws of financial fluctuations

Cited in

(3)

• 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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