Multifractal Diffusion Entropy Analysis: Applications to Financial Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F14%3A00237853" target="_blank" >RIV/68407700:21340/14:00237853 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Multifractal Diffusion Entropy Analysis: Applications to Financial Time Series
Original language description
Scaling behavior of time series is the key aspect that enables one to reveal the relevant temporal dynamical scales. In this respect, a multifractal theory represents a powerful approach in complex dynamical systems that is designed for the study of scaling behavior. In this framework the estimation of multifractal spectrum is one of popular methods allowing one to detect and quantify the underlying complexity present in the system. Among many different approaches, the Multifractal Diffusion Entropy Analysis, based on estimation of Renyi entropy, provides an innovative approach for evaluation of multifractal exponents. In the recent article [1], we have shown that the proper estimation of probability histograms is crucial for correct evaluation of Renyi entropy and ensuing multifractal exponents. In this paper we summarize our recent results and apply them to various real financial time series, recorded both on minute and daily basis. Our aim is to illustrate the potency of the method
Czech name
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Czech description
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Project
<a href="/en/project/GA14-07983S" target="_blank" >GA14-07983S: Vacuum structure in Quantum Field Theories</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
International work-conference on Time Series 2014
ISBN
978-84-15814-97-9
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
87-96
Publisher name
Universidad de Granada
Place of publication
Granada
Event location
Granada
Event date
Jun 25, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000359136600012

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