Multivariate multiscale entropy of financial markets

DOI10.1016/j.cnsns.2017.04.028OpenAlexW2607698856MaRDI QIDQ2007428

Jun Wang, Yunfan Lu

Publication date: 14 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2017.04.028

zbMATH Keywords

globe stock marketmultivariate multiscale entropy analysismultivariate volatility seriesnonlinear complexity behaviorshuffled multivariate return

Mathematics Subject Classification ID

Dynamical systems and ergodic theory (37-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation ⋮ A Summary: Quantifying the Complexity of Financial Markets Using Composite and Multivariate Multiscale Entropy

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