Generalized information entropy analysis of financial time series

2018 ◽  
Vol 505 ◽  
pp. 1170-1185 ◽  
Author(s):  
Zhengli Liu ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Information Entropy ◽  
Financial Time Series ◽  
Entropy Analysis ◽  
Financial Time ◽  
Generalized Information ◽  
Generalized Information Entropy

MULTISCALE ENTROPY ANALYSIS OF FINANCIAL TIME SERIES

2012 ◽  
Vol 11 (04) ◽  
pp. 1250033 ◽  
Author(s):  
JIANAN XIA ◽  
PENGJIAN SHANG
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Sample Entropy ◽  
Scale Factor ◽  
Multiscale Entropy ◽  
Entropy Analysis ◽  
Financial Time

The paper mainly applies the multiscale entropy (MSE) to analyze the financial time series. The MSE is used to examine the complexity of a quantified system. Based on MSE, we propose multiscale cross-sample entropy (MSCE) to analyze the complexity and correlation of two time series. By comparing with the results, we find that both results present remarkable scaling characterization and the value of each log return of financial time series decreases with a increasing scale factor. From the results of MSE, we also find that the entropy of the Europe markets is lower than that of the Asia, but higher than that of the Americas. It means the MSE can distinguish different areas markets. The results of MSCE show that financial plate have high synchrony with the plate of Electron, IT and Realty. The MSCE can distinguish the highly synchronous plates.

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