کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5102815 1480091 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonlinear transformation on the transfer entropy of financial time series
ترجمه فارسی عنوان
تحول غیرخطی بر روی آنتروپی انتقال سریهای مالی
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
Transfer entropy (TE) now is widely used in the data mining and economic field. However, TE itself demands that time series intend to be stationary and meet Markov condition. Naturally, we are interested in investigating the effect of the nonlinear transformation of the two series on the TE. Therefore, the paper is designed to study the TE of five nonlinear “volatile” transformations based on the data which are generated by the linear modeling and the logistic maps modeling, as well as the dataset that come from financial markets. With only one of the TE of nonlinear transformations fluctuating around the TE of original series, the TE of others all have increased with different degrees.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 482, 15 September 2017, Pages 392-400
نویسندگان
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