Analysis of the dispersion Havrda-Charvat entropy plane in financial time series

DOI10.1142/s0218127422502340zbMath1539.91125MaRDI QIDQ6537566

Pengjian Shang, Unnamed Author

Publication date: 14 May 2024

Published in: International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionstock marketJensen-Shannon divergenceHavrda-Charvat entropychaotic processesstatistical complexity measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84) Financial markets (91G15)

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