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The multiscale analysis between stock market time series

Author

Listed:
  • Wenbin Shi

    (School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China)

  • Pengjian Shang

    (School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China)

Abstract

This paper is devoted to multiscale cross-correlation analysis on stock market time series, where multiscale DCCA cross-correlation coefficient as well as multiscale cross-sample entropy (MSCE) is applied. Multiscale DCCA cross-correlation coefficient is a realization of DCCA cross-correlation coefficient on multiple scales. The results of this method present a good scaling characterization. More significantly, this method is able to group stock markets by areas. Compared to multiscale DCCA cross-correlation coefficient, MSCE presents a more remarkable scaling characterization and the value of each log return of financial time series decreases with the increasing of scale factor. But the results of grouping is not as good as multiscale DCCA cross-correlation coefficient.

Suggested Citation

  • Wenbin Shi & Pengjian Shang, 2015. "The multiscale analysis between stock market time series," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 26(06), pages 1-12.
    • Handle: RePEc:wsi:ijmpcx:v:26:y:2015:i:06:n:s0129183115500710
    DOI: 10.1142/S0129183115500710
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, October.
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    Cited by:

    1. Teng, Yue & Shang, Pengjian, 2017. "Transfer entropy coefficient: Quantifying level of information flow between financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 60-70.
    2. 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.

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