Modified cross sample entropy and surrogate data analysis method for financial time series
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DOI: 10.1016/j.physa.2015.03.055
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Cited by:
- Yin, Yi & Shang, Pengjian & Ahn, Andrew C. & Peng, Chung-Kang, 2019. "Multiscale joint permutation entropy for complex time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 388-402.
- li, Chao & Shang, Pengjian, 2019. "Multiscale Tsallis permutation entropy analysis for complex physiological time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 10-20.
- He, Jiayi & Shang, Pengjian & Xiong, Hui, 2018. "Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 210-221.
- Li, Jinyang & Shang, Pengjian, 2018. "Time irreversibility of financial time series based on higher moments and multiscale Kullback–Leibler divergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 248-255.
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Keywords
Modified cross-sample entropy (MCSE); Surrogate data analysis; Multifractal detrended cross-correlation analysis (MF-DCCA); Financial time series;All these keywords.
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