Multifractal diffusion entropy analysis on stock volatility in financial markets

Jingjing Huang, Pengjian Shang and Xiaojun Zhao

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 22, 5739-5745

Abstract: This paper introduces a generalized diffusion entropy analysis method to analyze long-range correlation then applies this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus on the scaling behaviors of regular volatility and extreme volatility respectively in developed and emerging markets. It successfully distinguishes their differences where regular volatility exhibits long-range persistence while extreme volatility reveals anti-persistence.

Keywords: Diffusion entropy analysis; Multifractal; Rényi entropy; Long-range correlation; Volatility (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:22:p:5739-5745

DOI: 10.1016/j.physa.2012.06.039

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