Applicattions of Multifractal Diffusion Entropy Analysis to Daily and Intraday Financial Time Series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F15%3A00221495" target="_blank" >RIV/68407700:21340/15:00221495 - isvavai.cz</a>
Result on the web
<a href="http://link.springer.com/chapter/10.1007/978-3-319-10759-2_34" target="_blank" >http://link.springer.com/chapter/10.1007/978-3-319-10759-2_34</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-10759-2_34" target="_blank" >10.1007/978-3-319-10759-2_34</a>
Alternative languages
Result language
angličtina
Original language name
Applicattions of Multifractal Diffusion Entropy Analysis to Daily and Intraday Financial Time Series
Original language description
Scaling properties and fractal structure are one of the most important aspects of real systems that point to their complexity. These properties are closely related to the theory of multifractal systems and theory of entropy. Estimation of scaling (or multifractal) exponents belongs to the essential techniques in that can to reveal complexity and inner structure of the system. To successful techniques belongs Multifractaldiffusion entropy analysis, based on estimation of Rényi entropy of the system. In the recent article [1], we have discussed one possible method to estimate the entropy from proper estimation of underlying probability histograms. We have applied the method to daily and intraday financial data in order to test the stability of the system. This article summarizes existing progress in this field and shows the robustness of the method on high-frequency financial data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BE - Theoretical physics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GCP402%2F12%2FJ077" target="_blank" >GCP402/12/J077: Application of generalized statistics in critical phenomena and financial markets</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
ISCS 2014: Interdisciplinary Symposium on Complex Systems
ISBN
978-3-319-10758-5
ISSN
2194-7287
e-ISSN
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Number of pages
10
Pages from-to
333-342
Publisher name
Springer
Place of publication
Dordrecht
Event location
Florence
Event date
Sep 15, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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