Analysis of Time Series Based on a New Entropy Plane by Using Weighted Dispersion Pattern,International Journal of Bifurcation and Chaos

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Analysis of Time Series Based on a New Entropy Plane by Using Weighted Dispersion Pattern
International Journal of Bifurcation and Chaos ( IF 1.9 ) Pub Date : 2021-07-26 , DOI: 10.1142/s0218127421501285
Guyue Qin ₁ , Pengjian Shang ₁

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Complexity is an important feature of complex time series. In this paper, we construct a weighted dispersion pattern and propose a new entropy plane using past Tsallis entropy and past Rényi entropy by using weighted dispersion pattern (PTEWD and PREWD, respectively), to quantify the complexity of time series. Through analyzing simulated data and actual data, we have verified the reliability of the entropy plane method. This entropy plane successfully distinguishes American and Chinese stock indexes, as well as developed and emergent stock markets. We introduce PTEWD and PREWD into multiscale settings, which could also well distinguish different stock markets. The results show that the new entropy plane could be used as an effective tool to distinguish financial markets.

更新日期：2021-07-26

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