Compositional segmentation of time series in the financial markets

DOI10.1016/j.amc.2015.06.061zbMath1410.91492OpenAlexW779117158MaRDI QIDQ668127

Jianan Xia, Yi Yin, Pengjian Shang

Publication date: 18 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.06.061

zbMATH Keywords

financial marketstime irreversibilitysegmentsdetrended fluctuation analysis (DFA)entropic segmentation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (1)

Multiple seasonal STL decomposition with discrete-interval moving seasonalities

Uses Software

• CpGcluster

Cites Work

• Information measures, effective complexity, and total information
• Toward a quantitative theory of self-generated complexity
• On discriminating between long-range dependence and changes in mean
• The dynamics of human gait
• Divergence measures based on the Shannon entropy
• Time-reversibility of linear stochastic processes
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