dorsal/arxiv
View SchemaMinimum Entropy Density Method for the Time Series Analysis
| Authors | Jeong Won Lee, Joongwoo Brian Park, Hang-Hyun Jo, Jae-Suk Yang, Hie-Tae Moon |
|---|---|
| Categories | |
| ArXiv ID | physics/0607282 |
| URL | https://arxiv.org/abs/physics/0607282 |
Abstract
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty is minimized, hence the pattern is revealed most. The MEDM is applied to the financial time series of Standard and Poor's 500 index from February 1983 to April 2006. Then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis.
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"abstract": "The entropy density is an intuitive and powerful concept to study the\ncomplicated nonlinear processes derived from physical systems. We develop the\nminimum entropy density method (MEDM) to detect the structure scale of a given\ntime series, which is defined as the scale in which the uncertainty is\nminimized, hence the pattern is revealed most. The MEDM is applied to the\nfinancial time series of Standard and Poor\u0027s 500 index from February 1983 to\nApril 2006. Then the temporal behavior of structure scale is obtained and\nanalyzed in relation to the information delivery time and efficient market\nhypothesis.",
"arxiv_id": "physics/0607282",
"authors": [
"Jeong Won Lee",
"Joongwoo Brian Park",
"Hang-Hyun Jo",
"Jae-Suk Yang",
"Hie-Tae Moon"
],
"categories": [
"physics.data-an",
"q-fin.ST"
],
"title": "Minimum Entropy Density Method for the Time Series Analysis",
"url": "https://arxiv.org/abs/physics/0607282"
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