Search Results - subject:"Cross sample entropy"

Hidden cross-correlation patterns in stock markets based on permutation cross-sample entropy and PCA

Lin, Aijing; Shang, Pengjian; Zhong, Bo - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 259-272

In this article, we investigate the hidden cross-correlation structures in Chinese stock markets and US stock markets by performing PCSE combined with PCA approach. It is suggested that PCSE can provide a more faithful and more interpretable description of the dynamic mechanism between time...

Persistent link: https://www.econbiz.de/10010939945

Cross-sample entropy of foreign exchange time series

Liu, Li-Zhi; Qian, Xi-Yuan; Lu, Heng-Yao - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4785-4792

/USD, NOK/USD, CAD/USD, JPY/USD, KRW/USD, SGD/USD, THB/USD and TWD/USD for a period from 1995 to 2002. Cross-SampEn (cross-sample … entropy) method is used to compare the returns of every two exchange rate time series to assess their degree of asynchrony …

Persistent link: https://www.econbiz.de/10010873140

The evolutionary synchronization of the exchange rate system in ASEAN+6

Feng, Xiaobing; Hu, Haibo; Wang, Xiaofan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5785-5793

have increased. Cross sample entropy and cross entropy approaches are also applied to examine the synchrony behavior among …

Persistent link: https://www.econbiz.de/10010588520