Multiscale multifractal diffusion entropy analysis of financial time series

Jingjing Huang and Pengjian Shang

Physica A: Statistical Mechanics and its Applications, 2015, vol. 420, issue C, 221-228

Abstract: This paper introduces a multiscale multifractal diffusion entropy analysis (MMDEA) method to analyze long-range correlation then applies this method to stock index series. The method combines the techniques of diffusion process and Rényi entropy to focus on the scaling behaviors of stock index series using a multiscale, which allows us to extend the description of stock index variability to include the dependence on the magnitude of the variability and time scale. Compared to multifractal diffusion entropy analysis, the MMDEA can show more details of scale properties and provide a reliable analysis. In this paper, we concentrate not only on the fact that the stock index series has multifractal properties but also that these properties depend on the time scale in which the multifractality is measured. This time scale is related to the frequency band of the signal. We find that stock index variability appears to be far more complex than reported in the studies using a fixed time scale.

Keywords: Multiscale; Multifractal; Diffusion entropy analysis; Rényi entropy; Long-range correlation; Time scale (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:420:y:2015:i:c:p:221-228

DOI: 10.1016/j.physa.2014.11.009

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