Forbidden patterns in financial time series

Massimiliano Zanin

Papers from arXiv.org

Abstract: The existence of forbidden patterns, i.e., certain missing sequences in a given time series, is a recently proposed instrument of potential application in the study of time series. Forbidden patterns are related to the permutation entropy, which has the basic properties of classic chaos indicators, thus allowing to separate deterministic (usually chaotic) from random series; however, it requires less values of the series to be calculated, and it is suitable for using with small datasets. In this Letter, the appearance of forbidden patterns is studied in different economical indicators like stock indices (Dow Jones Industrial Average and Nasdaq Composite), NYSE stocks (IBM and Boeing) and others (10-year Bond interest rate), to find evidences of deterministic behavior in their evolutions.

Date: 2007-11, Revised 2007-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0711.0729 Latest version (application/pdf)

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:arx:papers:0711.0729

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().