Search Results - subject:"permutation entropy"

Independence Tests based on Symbolic Dynamics

Elsinger, Helmut - 2010

New methods to test whether a time series is i.i.d. are proposed in a recent series of papers (Matilla-García [2007], Matilla-García and Marín [2008], Matilla-García and Marín [2009], and Matilla-García et al. [2010]). The main idea is to map m-histories of a time series onto elements of...

Persistent link: https://www.econbiz.de/10013370082

Working Paper 165

Elsinger, Helmut - Oesterreichische Nationalbank - 2010

New methods to test whether a time series is i.i.d. are proposed in a recent series of papers (Matilla-GarcÃa [2007], Matilla-GarcÃa and MarÃn [2008], Matilla-GarcÃa and MarÃn [2009], and Matilla-GarcÃa et al. [2010]). The main idea is to map m-histories of a time series onto...

Persistent link: https://www.econbiz.de/10010727827

Independence Tests based on Symbolic Dynamics

Elsinger, Helmut - Oesterreichische Nationalbank - 2010

Persistent link: https://www.econbiz.de/10008685233

The experimental signals analysis for bubbly oil-in-water flow using multi-scale weighted-permutation entropy

Chen, Xin; Jin, Ning-De; Zhao, An; Gao, Zhong-Ke; Zhai, … - In: Physica A: Statistical Mechanics and its Applications 417 (2015) C, pp. 230-244

We firstly combine multi-scale method (MS) and weighted-permutation entropy (WPE) to analyze chaotic, noisy, and … the presence of higher levels of noise, a task that multi-scale permutation entropy (MSPE) fails to work. We then apply … change rate of MSWPE enables to characterize the transition of flow patterns and multi-scale weighted-permutation entropy …

Persistent link: https://www.econbiz.de/10011077843

Predictability dynamics of Islamic and conventional equity markets

Sensoy, Ahmet; Aras, Guler; Hacihasanoglu, Erk - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 222-248

permutation entropy. Accordingly, we find that all indexes in our analysis have different degrees of time-varying predictability …

Persistent link: https://www.econbiz.de/10011191069

Predictability dynamics of Islamic and conventional equity markets

Sensoy, Ahmet; Aras, Güler; Hacihasanoglu, Erk - In: The North American journal of economics and finance : a … 31 (2015), pp. 222-248

Persistent link: https://www.econbiz.de/10011514222

Permutation approach, high frequency trading and variety of micro patterns in financial time series

Aghamohammadi, Cina; Ebrahimian, Mehran; Tahmooresi, Hamed - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 25-30

Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time series. Tick to tick exchange rates are considered as...

Persistent link: https://www.econbiz.de/10010906965

A permutation entropy based test for causality: The volume–stock price relation

Matilla-García, Mariano; Marín, Manuel Ruiz; Dore, … - In: Physica A: Statistical Mechanics and its Applications 398 (2014) C, pp. 280-288

on permutation entropy and to show its usefulness in analyzing the potential causal relationship between trading volume … also compare our permutation entropy based test with other Granger causality tests. Monte Carlo simulations show excellent …

Persistent link: https://www.econbiz.de/10011059209

Complexity analysis of the turbulent environmental fluid flow time series

Mihailović, D.T.; Nikolić-Đorić, E.; Drešković, N.; … - In: Physica A: Statistical Mechanics and its Applications 395 (2014) C, pp. 96-104

–Ziv Algorithm (LZA) (lower—KLL and upper—KLU), sample entropy (SE) and permutation entropy (PE) values for each time series. The …

Persistent link: https://www.econbiz.de/10011059499

Efficiency characterization of a large neuronal network: A causal information approach

Montani, Fernando; Deleglise, Emilia B.; Rosso, Osvaldo A. - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 58-70

information: the Shannon permutation entropy, Fisher permutation information and permutation statistical complexity. This allows …

Persistent link: https://www.econbiz.de/10011060586