Quantifying the Multiscale Predictability of Financial Time Series by an Information-Theoretic Approach

Making predictions on the dynamics of time series of a system is a very interesting topic. A fundamental prerequisite of this work is to evaluate the predictability of the system over a wide range of time. In this paper, we propose an information-theoretic tool, multiscale entropy difference (MED),...

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Detalles Bibliográficos
Autores principales: Zhao, Xiaojun, Liang, Chenxu, Zhang, Na, Shang, Pengjian
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515187/
https://www.ncbi.nlm.nih.gov/pubmed/33267398
http://dx.doi.org/10.3390/e21070684

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515187/
https://www.ncbi.nlm.nih.gov/pubmed/33267398
http://dx.doi.org/10.3390/e21070684

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