Analysis of the dispersion Havrda-Charvat entropy plane in financial time series

DOI10.1142/S0218127422502340MaRDI QIDQ6537566zbMATH OpenFDO

Authors Zhuo Wang, Pengjian Shang

Publication date 14 May 2024

Published in International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

zbMATH Keywords

Jensen-Shannon divergencefractional Brownian motionstock marketHavrda-Charvat entropychaotic processesstatistical complexity measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Fractional processes, including fractional Brownian motion (60G22) Financial markets (91G15)

Cites work

• scientific article; zbMATH DE number 2113099 (Why is no real title available?)
• A Mathematical Theory of Communication
• A simple and fast representation space for classifying complex time series
• Complex similarity and fluctuation dynamics of financial markets on voter interacting dynamic system
• Financial time series analysis based on fractional and multiscale permutation entropy
• Generalized permutation entropy analysis based on the two-index entropic form \(S_{q,\delta}\)
• Generalized statistical complexity measure
• Improving quality of sample entropy estimation for continuous distribution probability functions
• Influence of noise on the sample entropy algorithm
• Nonlinear analysis on cross-correlation of financial time series by continuum percolation system
• Nonlinear complexity and chaotic behaviors on finite-range stochastic epidemic financial dynamics
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• PARAMETER SELECTION FOR PERMUTATION ENTROPY MEASUREMENTS
• Permutation entropy of state transition networks to detect synchronization
• Statistical complexity of the time dependent damped L84 model
• Weighted multifractal cross-correlation analysis based on Shannon entropy

This page was built for publication: Analysis of the dispersion Havrda-Charvat entropy plane in financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6537566)