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Minimum entropy density method for the time series analysis

Author

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  • Lee, Jeong Won
  • Park, Joongwoo Brian
  • Jo, Hang-Hyun
  • Yang, Jae-Suk
  • Moon, Hie-Tae

Abstract

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.

Suggested Citation

  • Lee, Jeong Won & Park, Joongwoo Brian & Jo, Hang-Hyun & Yang, Jae-Suk & Moon, Hie-Tae, 2009. "Minimum entropy density method for the time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(2), pages 137-144.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:2:p:137-144
    DOI: 10.1016/j.physa.2008.10.003
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    Citations

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    Cited by:

    1. Chapeau-Blondeau, François & Rousseau, David, 2009. "The minimum description length principle for probability density estimation by regular histograms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3969-3984.
    2. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
    3. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    4. Lavička, H. & Lin, L. & Novotný, J., 2010. "Employment, Production and Consumption model: Patterns of phase transitions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1708-1720.

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