Multifractal Diffusion Entropy Analysis: Applications to Financial Time Series

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Multifractal Diffusion Entropy Analysis: Applications to Financial Time Series

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Multifractal Diffusion Entropy Analysis: Applications to Financial Time Series

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

<a href="/cs/project/GA14-07983S" target="_blank" >GA14-07983S: Struktura vakua v kvantově polních teoriích</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

International work-conference on Time Series 2014

ISBN

978-84-15814-97-9

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

87-96

Název nakladatele

Universidad de Granada

Místo vydání

Granada

Místo konání akce

Granada

Datum konání akce

25. 6. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000359136600012