Huang, Jingjing; Shang, Pengjian; Zhao, Xiaojun - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5739-5745
This paper introduces a generalized diffusion entropy analysis method to analyze long-range correlation then applies this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus on the scaling behaviors of regular volatility and...
