期刊
PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA
卷 101, 期 38, 页码 13709-13714出版社
NATL ACAD SCIENCES
DOI: 10.1073/pnas.0405168101
关键词
approximate entropy; stock market; instability; random walk
The need to assess subtle, potentially exploitable changes in serial structure is paramount in the analysis of financial data. Herein, we demonstrate the utility of approximate entropy (ApEn), a model-independent measure of sequential irregularity, toward this goal, by several distinct applications. We consider both empirical data and models, including composite indices (Standard and Poor's 500 and Hang Seng), individual stock prices, the random-walk hypothesis, and the Black-Scholes and fractional Brownian motion models. Notably, ApEn appears to be a potentially useful marker of system stability, with rapid increases possibly foreshadowing significant changes in a financial variable.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据