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Applications of Multifractal Diffusion Entropy Analysis to Daily and Intraday Financial Time Series

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ISCS 2014: Interdisciplinary Symposium on Complex Systems

Part of the book series: Emergence, Complexity and Computation ((ECC,volume 14))

Abstract

Scaling properties and fractal structure are one of the most important aspects of real systems that point to their complexity. These properties are closely related to the theory of multifractal systems and theory of entropy. Estimation of scaling (or multifractal) exponents belongs to the essential techniques that can reveal complexity and inner structure of the system. To successful techniques belongs Multifractal diffusion entropy analysis, based on estimation of Rényi entropy of the system. In the recent article [1], we have discussed one possible method of estimation Rényi entropy from proper estimation of underlying probability histograms. In Ref. [2], we have applied the method to daily and intraday financial data in order to test the stability of the system. This article summarizes existing progress in this field and shows the robustness of the method on high-frequency financial data.

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Author information

Authors and Affiliations

  1. Faculty of Nuclear Sciences and Physical Engineering, Czech Technical University in Prague, Břehová 7, 115 19, Prague, Czech Republic

    Petr Jizba & Jan Korbel

  2. Institute for Theoretical Physics, Freie Universität Berlin, Arnimallee 14, 14195, Berlin, Germany

    Petr Jizba

  3. Max-Planck-Institute for the History of Science, Boltzmannstr. 22, 14195, Berlin, Germany

    Jan Korbel

Authors
  1. Petr Jizba
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  2. Jan Korbel
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Corresponding author

Correspondence to Petr Jizba .

Editor information

Editors and Affiliations

  1. Institute for Theoretical Physics, Tübingen, Germany

    Ali Sanayei

  2. Institute for Physical and Theoretical Chemistry, University of Tübingen, Tübingen, Germany

    Otto E. Rössler

  3. Department of Computer Science Faculty of Elect.Eng. and Comp. Sci., VŠB-TUO, Ostrava-Poruba, Czech Republic

    Ivan Zelinka

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Jizba, P., Korbel, J. (2015). Applications of Multifractal Diffusion Entropy Analysis to Daily and Intraday Financial Time Series. In: Sanayei, A., E. Rössler, O., Zelinka, I. (eds) ISCS 2014: Interdisciplinary Symposium on Complex Systems. Emergence, Complexity and Computation, vol 14. Springer, Cham. https://doi.org/10.1007/978-3-319-10759-2_34

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  • DOI: https://doi.org/10.1007/978-3-319-10759-2_34

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-10758-5

  • Online ISBN: 978-3-319-10759-2

  • eBook Packages: EngineeringEngineering (R0)

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