کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7381640 1480173 2014 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Classifying of financial time series based on multiscale entropy and multiscale time irreversibility
ترجمه فارسی عنوان
طبقه بندی سری های زمانی مالی بر اساس آنتروپی چند متغیره و برگشت غیرمستقیم چند زمانه
کلمات کلیدی
چندین بار غیر قابل برگشت بودن زمان، آنتروپی چند عاملی، سری زمانی مالی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
Time irreversibility is a fundamental property of many time series. We apply the multiscale entropy (MSE) and multiscale time irreversibility (MSTI) to analyze the financial time series, and succeed to classify the financial markets. Interestingly, both methods have nearly the same classification results, which mean that they are capable of distinguishing different series in a reliable manner. By comparing the results of shuffled data with the original results, we confirm that the asymmetry property is an inherent property of financial time series and it can extend over a wide range of scales. In addition, the effect of noise on Americas markets and Europe markets are relatively more significant than the effect on Asia markets, and loss of time irreversibility has been detected in high noise added series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 400, 15 April 2014, Pages 151-158
نویسندگان
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