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Weighted permutation entropy based on different symbolic approaches for financial time series

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  • Yin, Yi
  • Shang, Pengjian
Abstract
In this paper, we introduce weighted permutation entropy (WPE) and three different symbolic approaches to investigate the complexities of stock time series containing amplitude-coded information and explore the influence of using different symbolic approaches on obtained WPE results. We employ WPE based on symbolic approaches to the US and Chinese stock markets and make a comparison between the results of US and Chinese stock markets. Three symbolic approaches are able to help the complexity containing in the stock time series by WPE method drop whatever the embedding dimension is. The similarity between these stock markets can be detected by the WPE based on Binary Δ-coding-method, while the difference between them can be revealed by the WPE based on σ-method, Max–min-method. The combinations of the symbolic approaches: σ-method and Max–min-method, and WPE method are capable of reflecting the multiscale structure of complexity by different time delay and analyze the differences between complexities of stock time series in more detail and more accurately. Furthermore, the correlations between stock markets in the same region and the similarities hidden in the S&P500 and DJI, ShangZheng and ShenCheng are uncovered by the comparison of the WPE based on Binary Δ-coding-method of six stock markets.

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  • Yin, Yi & Shang, Pengjian, 2016. "Weighted permutation entropy based on different symbolic approaches for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 137-148.
    • Handle: RePEc:eee:phsmap:v:443:y:2016:i:c:p:137-148
    DOI: 10.1016/j.physa.2015.09.067
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    References listed on IDEAS

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    6. Han, Yun-Feng & Jin, Ning-De & Zhai, Lu-Sheng & Ren, Ying-Yu & He, Yuan-Sheng, 2019. "An investigation of oil–water two-phase flow instability using multivariate multi-scale weighted permutation entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 131-144.

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