Multifractal weighted permutation analysis based on Rényi entropy for financial time series

DOI10.1016/j.physa.2019.04.230OpenAlexW2941679900MaRDI QIDQ2164283

Yuan Yuan Wang, Pengjian Shang, Zhengli Liu

Publication date: 12 August 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.230

zbMATH Keywords

multifractal analysisfinancial time seriesgeneralized dimensionweight permutation process

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Characterizing the statistical complexity of nonlinear time series via ordinal pattern transition networks

Cites Work

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