Order patterns, their variation and change points in financial time series and Brownian motion

DOI10.1007/s00362-020-01171-7zbMath1452.62617arXiv1910.09978OpenAlexW3011211136MaRDI QIDQ2208381

Christoph Bandt

Publication date: 2 November 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.09978

zbMATH Keywords

time seriesBrownian motionpermutation entropystock dataorder pattern

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Self-similar stochastic processes (60G18) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

Editorial for the special issue: Change point detection ⋮ Ordinal pattern dependence as a multivariate dependence measure ⋮ Comparative analysis of the original and amplitude permutations ⋮ Comparative analysis of time irreversibility and amplitude irreversibility based on joint permutation

Uses Software

• PhysioToolkit

Cites Work

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• Ordinal symbolic analysis and its application to biomedical recordings
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• Multiscale ordinal network analysis of human cardiac dynamics
• Permutation Entropy and Order Patterns in Long Time Series

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