Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent

DOI10.1007/S11071-020-05646-YMaRDI QIDQ6166281zbMATH OpenOpenAlexFDO

Authors Du Shang, Pengjian Shang

Publication date 2 August 2023

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11071-020-05646-y

zbMATH Keywords

time seriescumulative residual entropyfinancial stock marketsoscillation roughness exponent

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Cites work

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Cited in

(1)

• An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications

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