کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5011401 1462593 2017 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Research paperMultivariate multiscale entropy of financial markets
ترجمه فارسی عنوان
چندوجهی انتروپی چندگانه بازارهای مالی
کلمات کلیدی
تجزیه و تحلیل آنتروپی چند متغیره چند متغیره، رفتار پیچیدگی غیر خطی، بازار بورس جهانی، سری نوسانات چند متغیره، بازگشت چند متغیر متناوب،
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مهندسی مکانیک
چکیده انگلیسی


- Multivariate multiscale entropy (MMSE) analysis is applied to quantify the complexity of financial multivariate time series.
- The more single-channels within a multivariate time series exhibit long-range correla- tions, the higher the overall complexity of the underlying multivariate system is.
- The complexity of financial high-frequency returns for each stock trading hour in China stock markets is quantified.
- Thanks to MMSE analysis, a new attempt to analyze the complexity of stock markets of three major regions - Asia, Europe and America, is realized.
- The multivariate stock returns from America show the highest degree of complexity, followed by those from Asia and then Europe with smaller scales.

In current process of quantifying the dynamical properties of the complex phenomena in financial market system, the multivariate financial time series are widely concerned. In this work, considering the shortcomings and limitations of univariate multiscale entropy in analyzing the multivariate time series, the multivariate multiscale sample entropy (MMSE), which can evaluate the complexity in multiple data channels over different timescales, is applied to quantify the complexity of financial markets. Its effectiveness and advantages have been detected with numerical simulations with two well-known synthetic noise signals. For the first time, the complexity of four generated trivariate return series for each stock trading hour in China stock markets is quantified thanks to the interdisciplinary application of this method. We find that the complexity of trivariate return series in each hour show a significant decreasing trend with the stock trading time progressing. Further, the shuffled multivariate return series and the absolute multivariate return series are also analyzed. As another new attempt, quantifying the complexity of global stock markets (Asia, Europe and America) is carried out by analyzing the multivariate returns from them. Finally we utilize the multivariate multiscale entropy to assess the relative complexity of normalized multivariate return volatility series with different degrees.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 52, November 2017, Pages 77-90
نویسندگان
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