Permutation entropy analysis based on Gini–Simpson index for financial time series

Jun Jiang, Pengjian Shang, Zuoquan Zhang and Xuemei Li

Physica A: Statistical Mechanics and its Applications, 2017, vol. 486, issue C, 273-283

Abstract: In this paper, a new coefficient is proposed with the objective of quantifying the level of complexity for financial time series. For researching complexity measures from the view of entropy, we propose a new permutation entropy based on Gini–Simpson index (GPE). Logistic map is applied to simulate time series to show the accuracy of the GPE method, and expound the extreme robustness of our GPE by the results of simulated time series. Meanwhile, we compare the effect of the different order of GPE. And then we employ it to US and European and Chinese stock markets in order to reveal the inner mechanism hidden in the original financial time series. After comparison of these results of stock indexes, it can be concluded that the relevance of different stock markets are obvious. To study the complexity features and properties of financial time series, it can provide valuable information for understanding the inner mechanism of financial markets.

Keywords: Permutation entropy; Gini–Simpson index; Logistic map; Financial time series (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437117305770
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:486:y:2017:i:c:p:273-283

DOI: 10.1016/j.physa.2017.05.059

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().