Multiscale weighted Rényi entropy causality plane for financial time series

Jing Gao and Pengjian Shang ()
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Jing Gao: Department of Mathematics, School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China
Pengjian Shang: Department of Mathematics, School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China

International Journal of Modern Physics C (IJMPC), 2019, vol. 30, issue 05, 1-23

Abstract: The permutation entropy (PE) is a statistical measure which can describe complexity of time series. In recent years, the research on PE is increasing gradually. As part of its application, the complexity–entropy causality plane (CECP) and weighted CECP (WCECP) have been recently used to distinguish the stage of stock market development. In this paper, we focus on weighted Rényi entropy causality plane (WRECP), and then extend WCECP and WRECP into multiscale WCECP (MWCECP) and multiscale WRECP (MWRECP) by introducing a new parameter scale. By data simulating and analyzing, we show the power of WRECP. Besides, we discuss the MWCECP and the MWRECP of adjacent scales. It reveals a gradual relationship between adjacent weighted scale entropies.

Keywords: Weighted Rényi entropy causality plane; multiscale; financial time series; logistic map (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0129183119500372

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