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A novel and effective method to characterize complex systems

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  • Xu, Meng
  • Shang, Pengjian
  • Zhang, Sheng

Abstract

Box-counting dimension and dispersion entropy dynamic plane (BCDDE) is introduced for quantifying complex behavior of dynamical systems. This measurement integrates the advantages of two essential mathematical tools. We undertake the experiment to support the hypothesis of BCDDE. Numerical simulations and analysis are performed to prove the effectiveness of the method. The produced results verify that the BCDDE not only can exactly describe the dynamic characteristics of time series, but also can distinguish different classes of time series. The empirical research on the financial time series mainly studies the classification for stock market dynamics. The experimental results are statistically significant, which illustrate that BCDDE can effectively detect the internal structure of the stock market. It turns out that the classification accuracy is excellent between developed stock indices and emerging stock indices.

Suggested Citation

  • Xu, Meng & Shang, Pengjian & Zhang, Sheng, 2021. "A novel and effective method to characterize complex systems," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    • Handle: RePEc:eee:chsofr:v:153:y:2021:i:p1:s096007792100792x
    DOI: 10.1016/j.chaos.2021.111438
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    References listed on IDEAS

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    1. Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna, 2011. "Evolution of worldwide stock markets, correlation structure and correlation based graphs," Papers 1103.5555, arXiv.org.
    2. Lamberti, P.W & Martin, M.T & Plastino, A & Rosso, O.A, 2004. "Intensive entropic non-triviality measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 334(1), pages 119-131.
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    Cited by:

    1. Mohamed, Sara M. & Sayed, Wafaa S. & Said, Lobna A. & Radwan, Ahmed G., 2022. "FPGA realization of fractals based on a new generalized complex logistic map," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).

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