Irregularity, volatility, risk, and financial market time series

DOI10.1073/pnas.0405168101zbMath1064.91061OpenAlexW1994514845WikidataQ24564668 ScholiaQ24564668MaRDI QIDQ5460848

R. E. Kalman, Steve Pincus

Publication date: 19 July 2005

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.0405168101

Mathematics Subject Classification ID

Related Items (9)

Forecasting the crude oil prices based on econophysics and Bayesian approach ⋮ Modified multifractal large deviation spectrum based on CID for financial market system ⋮ Measuring market efficiency: the Shannon entropy of high-frequency financial time series ⋮ A statistical test of market efficiency based on information theory ⋮ Approximate Entropy as an Irregularity Measure for Financial Data ⋮ Statistical physics approaches to the complex Earth system ⋮ Modeling the flow of information between financial time-series by an entropy-based approach ⋮ Complexity testing techniques for time series data: a comprehensive literature review ⋮ DYNAMICS OF AVALANCHE ACTIVITIES IN FINANCIAL MARKETS

Cites Work

• The Pricing of Options and Corporate Liabilities
• Greater signal regularity may indicate increased system isolation
• Approximate entropy as a measure of system complexity.
• Approximate entropy: Statistical properties and applications
• A recipe for randomness
• Not all (possibly) “random” sequences are created equal
• Randomness and degrees of irregularity.
• Fractional Brownian Motions, Fractional Noises and Applications

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