Classifying of financial time series based on multiscale entropy and multiscale time irreversibility

Jianan Xia, Pengjian Shang, Jing Wang and Wenbin Shi

Physica A: Statistical Mechanics and its Applications, 2014, vol. 400, issue C, 151-158

Abstract: Time irreversibility is a fundamental property of many time series. We apply the multiscale entropy (MSE) and multiscale time irreversibility (MSTI) to analyze the financial time series, and succeed to classify the financial markets. Interestingly, both methods have nearly the same classification results, which mean that they are capable of distinguishing different series in a reliable manner. By comparing the results of shuffled data with the original results, we confirm that the asymmetry property is an inherent property of financial time series and it can extend over a wide range of scales. In addition, the effect of noise on Americas markets and Europe markets are relatively more significant than the effect on Asia markets, and loss of time irreversibility has been detected in high noise added series.

Keywords: Multiscale time irreversibility; Multiscale entropy; Financial time series (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:400:y:2014:i:c:p:151-158

DOI: 10.1016/j.physa.2014.01.016

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