کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7375302 1480068 2018 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized AIC method based on higher-order moments and entropy of financial time series
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Generalized AIC method based on higher-order moments and entropy of financial time series
چکیده انگلیسی
In this paper, a generalized method of traditional Akaike information criterion is proposed as a new measurement to compare and evaluate the volatility behaviors of time series in stock market. This new method is modified by extending variance to high-order statistics such as skewness, kurtosis, and permutation entropy, so as to demonstrate the different aspects of volatility behaviors of time series compared to low-order method. Furthermore, a new model of creating an AIC plane is proposed in order to derive more accurate results. Numerical simulations are conducted over synthetic data to provide comparative study. In addition, further reports about the results of distinguishing behaviors in stock market composite index of America, China and Hong Kong by using generalized AIC method and AIC plane are utilized to reflect the feasibility. Our results can effectively differentiate multiscale volatility details of time series from three areas.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 505, 1 September 2018, Pages 1127-1138
نویسندگان
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