Loading...
Please wait, while we are loading the content...
Similar Documents
Refined composite multiscale weighted-permutation entropy of financial time series
| Content Provider | Semantic Scholar |
|---|---|
| Author | Zhang, Y. Y. Shang, Pengjian |
| Copyright Year | 2018 |
| Abstract | For quantifying the complexity of nonlinear systems, multiscale weighted-permutation entropy (MWPE) has recently been proposed. MWPE has incorporated amplitude information and been applied to account for the multiple inherent dynamics of time series. However, MWPE may be unreliable, because its estimated values show large fluctuation for slight variation of the data locations, and a significant distinction only for the different length of time series. Therefore, we propose the refined composite multiscale weighted-permutation entropy (RCMWPE). By comparing the RCMWPE results with other methods’ results on both synthetic data and financial time series, RCMWPE method shows not only the advantages inherited from MWPE but also lower sensitivity to the data locations, more stable and much less dependent on the length of time series. Moreover, we present and discuss the results of RCMWPE method on the daily price return series from Asian and European stock markets. There are significant differences between Asian markets and European markets, and the entropy values of Hang Seng Index (HSI) are close to but higher than those of European markets. The reliability of the proposed RCMWPE method has been supported by simulations on generated and real data. It could be applied to a variety of fields to quantify the complexity of the systems over multiple scales more accurately. |
| Starting Page | 189 |
| Ending Page | 199 |
| Page Count | 11 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.physa.2017.12.116 |
| Volume Number | 496 |
| Alternate Webpage(s) | http://isiarticles.com/bundles/Article/pre/pdf/97731.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.physa.2017.12.116 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
