Minimum entropy density method for the time series analysis

Cited 5 time in webofscience Cited 0 time in scopus
  • Hit : 277
  • Download : 0
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived froth 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. (C) 2008 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2009-01
Language
English
Article Type
Article
Citation

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.388, no.2-3, pp.137 - 144

ISSN
0378-4371
DOI
10.1016/j.physa.2008.10.003
URI
http://hdl.handle.net/10203/99729
Appears in Collection
RIMS Journal PapersPH-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 5 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0