Financial time series analysis based on information categorization method

DOI10.1016/j.physa.2014.08.055zbMath1402.91928OpenAlexW1976429259WikidataQ91906084 ScholiaQ91906084MaRDI QIDQ1783222

Qiang Tian, Pengjian Shang, Guo-Chen Feng

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc7126836

zbMATH Keywords

financial time seriesdissimilarity indexinformation categorization methodrank order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (4)

Analysis of Shannon-Fisher information plane in time series based on information entropy ⋮ Weighted multifractal cross-correlation analysis based on Shannon entropy ⋮ Symbolic phase transfer entropy method and its application ⋮ Analysis of time series through complexity-entropy curves based on generalized fractional entropy

Uses Software

• PHYLIP

Cites Work

• A Mathematical Theory of Communication
• Information categorization approach to literary authorship disputes
• Magnitude and sign scaling in power-law correlated time series
• Statistical physics approach to categorize biologic signals: From heart rate dynamics to DNA sequences
• Approximate entropy as a measure of system complexity.
• Introduction to Econophysics

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