Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data
Refined composite multivariate multiscale fractional fuzzy entropy (RCmvMFFE), which aims to sensitively discriminate different short noisy multichannel financial data, is proposed as a new measure to quantify the complexity dynamics of multichannel time series in this work. To better comprehend the...
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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/8173590 |
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| author | Huiqin Chu Zhiyong Wu Wei Zhang |
| author_facet | Huiqin Chu Zhiyong Wu Wei Zhang |
| author_sort | Huiqin Chu |
| collection | DOAJ |
| description | Refined composite multivariate multiscale fractional fuzzy entropy (RCmvMFFE), which aims to sensitively discriminate different short noisy multichannel financial data, is proposed as a new measure to quantify the complexity dynamics of multichannel time series in this work. To better comprehend the RCmvMFFE measure, the dynamical complexity analyses of multichannel synthetic dataset are comparatively studied with multivariate multiscale fuzzy entropy (mvMFE), refined composite multivariate multiscale fuzzy entropy (RCmvMFE), and refined composite multivariate multiscale fractional fuzzy entropy (RCmvMFFE). Then, these measures are firstly employed to explore actual multichannel financial index series to the best of our knowledge. The empirical analyses report that RCmvMFFE measure is able to deeply and sensitively dig up the market information hidden in the multichannel financial data and can better discriminate markets in different area compared to the traditional measures to some extent. |
| format | Article |
| id | doaj-art-4366ea34d64a4b37851164feb73e6297 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-4366ea34d64a4b37851164feb73e62972025-02-03T06:12:50ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/81735908173590Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial DataHuiqin Chu0Zhiyong Wu1Wei Zhang2School of Mathematics-Physics and Finance, Anhui Polytechnic University, Wuhu, Anhui 241000, ChinaSchool of Mathematics-Physics and Finance, Anhui Polytechnic University, Wuhu, Anhui 241000, ChinaKey Laboratory of Advanced Perception and Intelligent Control of High-End Equipment, Ministry of Education and School of Mathematics-Physics and Finance, Anhui Polytechnic University, Wuhu, Anhui 241000, ChinaRefined composite multivariate multiscale fractional fuzzy entropy (RCmvMFFE), which aims to sensitively discriminate different short noisy multichannel financial data, is proposed as a new measure to quantify the complexity dynamics of multichannel time series in this work. To better comprehend the RCmvMFFE measure, the dynamical complexity analyses of multichannel synthetic dataset are comparatively studied with multivariate multiscale fuzzy entropy (mvMFE), refined composite multivariate multiscale fuzzy entropy (RCmvMFE), and refined composite multivariate multiscale fractional fuzzy entropy (RCmvMFFE). Then, these measures are firstly employed to explore actual multichannel financial index series to the best of our knowledge. The empirical analyses report that RCmvMFFE measure is able to deeply and sensitively dig up the market information hidden in the multichannel financial data and can better discriminate markets in different area compared to the traditional measures to some extent.http://dx.doi.org/10.1155/2021/8173590 |
| spellingShingle | Huiqin Chu Zhiyong Wu Wei Zhang Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data Complexity |
| title | Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data |
| title_full | Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data |
| title_fullStr | Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data |
| title_full_unstemmed | Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data |
| title_short | Refined Composite Multivariate Multiscale Fractional Fuzzy Entropy: Measuring the Dynamical Complexity of Multichannel Financial Data |
| title_sort | refined composite multivariate multiscale fractional fuzzy entropy measuring the dynamical complexity of multichannel financial data |
| url | http://dx.doi.org/10.1155/2021/8173590 |
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