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Irregularity, volatility, risk, and financial market time series
The need to assess subtle, potentially exploitable changes in serial structure is paramount in the analysis of financial data. Herein, we demonstrate the utility of approximate entropy (ApEn), a model-independent measure of sequential irregularity, toward this goal, by several distinct applications....
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| Main Authors: | , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
National Academy of Sciences
2004
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| Fag: | |
| Online adgang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC518821/ https://ncbi.nlm.nih.gov/pubmed/15358860 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.0405168101 |
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