Search Results - subject:"Approximate entropy"

Applying approximate entropy (ApEn) to speculative bubble in the stock market

Saumitra, Bhaduri - Volkswirtschaftliche Fakultät, … - 2012

Entropy to investigate the presence of speculative bubbles for a cross country sample. Using Approximate Entropy, the article … Japan. The results confirm that there are strong “tale-tell” signs characterized by low Approximate Entropy (ApEn) level …In contrast to the traditional duration dependence test, the paper introduces an order statistic known as Approximate …

Persistent link: https://www.econbiz.de/10010601614

An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates

Kumar, Manish - In: International Journal of Monetary Economics and Finance 4 (2011) 3, pp. 309-325

-varying. The study employs approximate entropy statistics to examine the non-linear dependence. We also estimate the Tsay …

Persistent link: https://www.econbiz.de/10009352493

Approximate Entropy as an Irregularity Measure for Financial Data

Pincus, Steve - In: Econometric Reviews 27 (2008) 4-6, pp. 329-362

financial and econometric data. We demonstrate the utility of approximate entropy (ApEn), a model-independent measure of …

Persistent link: https://www.econbiz.de/10005476137

Effects of time dependency and efficiency on information flow in financial markets

Eom, Cheoljun; Jung, Woo-Sung; Choi, Sunghoon; Oh, Gabjin; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5219-5224

We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese, the Canadian, and US market data. We found that the...

Persistent link: https://www.econbiz.de/10010872437

Relationship between efficiency and predictability in stock price change

Eom, Cheoljun; Oh, Gabjin; Jung, Woo-Sung - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 22, pp. 5511-5517

approximate entropy (ApEn). The predictability corresponds to the hit-rate; this is the rate of consistency between the direction …

Persistent link: https://www.econbiz.de/10010590494

Estimation of ApEn for short-term HFECG based on multi-resolution analysis

Xu, Yinlin; Ma, Xiaofei; Ning, Xinbao - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 401-408

It is difficult to gain stable and credible values of ApEn (approximate entropy) for original signals of short … irregularity for HFECG. Chin. Sci. Bull. 49 (2004) 1886–1890, X. Ning, Y. Xu, J. Wang et al., Approximate entropy analysis of short …

Persistent link: https://www.econbiz.de/10010872090

Traffic Grammar and Algorithmic Complexity in Urban Freeway Flow Patterns

Haynes, Kingsley; Kulkarni, Rajendra; Stough, Roger - In: Networks and Spatial Economics 7 (2007) 4, pp. 333-351

on algorithmic entropy is introduced and developed. These concepts are operationalized using Pincus’ approximate entropy …

Persistent link: https://www.econbiz.de/10010988603

Market efficiency in foreign exchange markets

Oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 209-212

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for …

Persistent link: https://www.econbiz.de/10010589035

Surrogate testing of linear feedback processes with non-Gaussian innovations

Nagarajan, Radhakrishnan - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 530-538

Surrogate testing is used widely to determine the nature of the process generating the given empirical sample. In the present study, the usefulness of phase-randomized surrogates, amplitude adjusted Fourier transform and iterated amplitude adjusted Fourier transform surrogates on statistical...

Persistent link: https://www.econbiz.de/10010874449

Approximate entropy analysis of short-term HFECG based on wave mode

Ning, Xinbao; Xu, Yinlin; Wang, Jun; Ma, Xiaofei - In: Physica A: Statistical Mechanics and its Applications 346 (2005) 3, pp. 475-483

An improved approximate entropy (ApEn) algorithm based on wave mode is proposed by analyzing and modifying ApEn, so …

Persistent link: https://www.econbiz.de/10010589731