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Multiscale weighted Rényi entropy causality plane for financial time series

Author

Listed:
  • Jing Gao

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

  • Pengjian Shang

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

Abstract

The permutation entropy (PE) is a statistical measure which can describe complexity of time series. In recent years, the research on PE is increasing gradually. As part of its application, the complexity–entropy causality plane (CECP) and weighted CECP (WCECP) have been recently used to distinguish the stage of stock market development. In this paper, we focus on weighted Rényi entropy causality plane (WRECP), and then extend WCECP and WRECP into multiscale WCECP (MWCECP) and multiscale WRECP (MWRECP) by introducing a new parameter scale. By data simulating and analyzing, we show the power of WRECP. Besides, we discuss the MWCECP and the MWRECP of adjacent scales. It reveals a gradual relationship between adjacent weighted scale entropies.

Suggested Citation

  • Jing Gao & Pengjian Shang, 2019. "Multiscale weighted Rényi entropy causality plane for financial time series," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 30(05), pages 1-23, May.
    • Handle: RePEc:wsi:ijmpcx:v:30:y:2019:i:05:n:s0129183119500372
    DOI: 10.1142/S0129183119500372
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