کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
974753 | 1480186 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Minimum entropy density method for the time series analysis
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty is minimized, hence the pattern is revealed most. The MEDM is applied to the financial time series of Standard and Poor’s 500 index from February 1983 to April 2006. Then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issues 2–3, 15 January 2009, Pages 137–144
Journal: Physica A: Statistical Mechanics and its Applications - Volume 388, Issues 2–3, 15 January 2009, Pages 137–144
نویسندگان
Jeong Won Lee, Joongwoo Brian Park, Hang-Hyun Jo, Jae-Suk Yang, Hie-Tae Moon,