Permutation entropy analysis of financial time series based on Hill's diversity number

DOI10.1016/j.cnsns.2017.05.003OpenAlexW2611056396MaRDI QIDQ2007475

Pengjian Shang, Yali Zhang

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.2017.05.003

zbMATH Keywords

complexityfinancial time seriespermutation entropyHill's diversity number

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (4)

Multivariate generalized information entropy of financial time series ⋮ NF-CECP: a novel approach to distinguish signals with different properties via modified Fisher information measure ⋮ Characterizing dynamics of time series via Hill-index complexity measure ⋮ Permutation entropy: influence of amplitude information on time series classification performance

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