Minimum Entropy Density Method for the Time Series Analysis
数据分析、统计与概率
2008-12-02 v2 统计金融
摘要
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.
引用
@article{arxiv.physics/0607282,
title = {Minimum Entropy Density Method for the Time Series Analysis},
author = {Jeong Won Lee and Joongwoo Brian Park and Hang-Hyun Jo and Jae-Suk Yang and Hie-Tae Moon},
journal= {arXiv preprint arXiv:physics/0607282},
year = {2008}
}
备注
11 pages, 7 figures