Modified multiscale cross-sample entropy for complex time series

Yi Yin, Pengjian Shang and Guochen Feng

Applied Mathematics and Computation, 2016, vol. 289, issue C, 98-110

Abstract: In this paper, we introduce the composite multiscale cross-sample entropy (CMCSE) which may induce undefined entropies and then further propose the refined composite multiscale cross-sample entropy (RCMCSE) which modifies CMCSE. First, we apply multiscale cross-sample entropy (MCSE), CMCSE and RCMCSE methods to three types of artificial time series in order to test the validity and accuracy of these methods. Results show that RCMCSE reduces not only standard deviation, but also the probability of inducing undefined entropy effectively, which can provide better robustness and more accurate entropies. Then, these three methods are employed to investigate financial time series including US and Chinese stock indices. For the study between stock indices in the same region, some conclusions which are consistent with previous study are drawn by the RCMCSE results. Meanwhile, it can be found that undefined entropies are induced and the numbers of inducing undefined entropy by three methods for investigation between three US stock indices and two Chinese mainland stock indices are given. Compared with MCSE and CMCSE, RCMCSE method is capable of reducing the number of undefined entropy and providing more accurate entropies. Moreover, the differences on inducing undefined entropy between results for US stock indices & two Chinese mainland stock indices and results for US stock indices & HSI demonstrate a much closer relation between US stock markets and HSI than between US stock markets and two Chinese mainland stock markets. Hence, it can be concluded that RCMCSE is more applicable for the study between US and Chinese stock markets.

Keywords: Refined composite multiscale cross-sample entropy (RCMCSE); Composite multiscale cross-sample entropy (CMCSE); Multiscale cross-sample entropy (MCSE); Artificial time series; Stock indices (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:289:y:2016:i:c:p:98-110

DOI: 10.1016/j.amc.2016.05.013

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