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

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zbMATH Keywords

financial marketsmultivariate multiscale entropycomposite multiscale entropycomplexity quantification

Mathematics Subject Classification ID

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

Cites Work

• Long-Term Memory in Stock Market Prices
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• STATISTICAL PROPERTIES AND MULTIFRACTAL BEHAVIORS OF MARKET RETURNS BY ISING DYNAMIC SYSTEMS
• Quantifying complexity of financial short-term time series by composite multiscale entropy measure
• Multivariate multiscale entropy of financial markets

Cited In (3)

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