Multiscale multifractal diffusion entropy analysis of financial time series

DOI10.1016/j.physa.2014.11.009zbMath1402.91587OpenAlexW2014154965MaRDI QIDQ1783308

Pengjian Shang, Jing-Jing Huang

Publication date: 20 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.physa.2014.11.009

zbMATH Keywords

time scalemultiscalemultifractallong-range correlationdiffusion entropy analysisRényi entropy

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (5)

A method for analyzing correlation between multiscale and multivariate systems -- multiscale multidimensional cross recurrence quantification (MMDCRQA) ⋮ Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis ⋮ Scaling invariance embedded in very short time series: a factorial moment based diffusion entropy approach ⋮ Detrended multiple cross-correlation coefficient with sliding windows approach ⋮ Multiwavelet scale multidimensional recurrence quantification analysis

Cites Work

• A Mathematical Theory of Communication
• Multifractal detrended fluctuation analysis of nonstationary time series
• On Rényi information for ergodic diffusion processes
• The world according to Rényi: Thermodynamics of multifractal systems
• Introduction to Nonextensive Statistical Mechanics
• Generalized cutoff rates and Renyi's information measures
• Detecting long-range correlations with detrended fluctuation analysis
• Entropic nonextensivity: A possible measure of complexity
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