Measuring Coupling of Rhythmical Time Series Using Cross Sample Entropy and Cross Recurrence Quantification Analysis John D
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The Entropy Universe
entropy Review The Entropy Universe Maria Ribeiro 1,2,* , Teresa Henriques 3,4 , Luísa Castro 3 , André Souto 5,6,7 , Luís Antunes 1,2 , Cristina Costa-Santos 3,4 and Andreia Teixeira 3,4,8 1 Institute for Systems and Computer Engineering, Technology and Science (INESC-TEC), 4200-465 Porto, Portugal; [email protected] 2 Computer Science Department, Faculty of Sciences, University of Porto, 4169-007 Porto, Portugal 3 Centre for Health Technology and Services Research (CINTESIS), Faculty of Medicine University of Porto, 4200-450 Porto, Portugal; [email protected] (T.H.); [email protected] (L.C.); [email protected] (C.C.-S.); andreiasofi[email protected] (A.T.) 4 Department of Community Medicine, Information and Health Decision Sciences-MEDCIDS, Faculty of Medicine, University of Porto, 4200-450 Porto, Portugal 5 LASIGE, Faculdade de Ciências da Universidade de Lisboa, 1749-016 Lisboa, Portugal; [email protected] 6 Departamento de Informática, Faculdade de Ciências da Universidade de Lisboa, 1749-016 Lisboa, Portugal 7 Instituto de Telecomunicações, 1049-001 Lisboa, Portugal 8 Instituto Politécnico de Viana do Castelo, 4900-347 Viana do Castelo, Portugal * Correspondence: [email protected] Abstract: About 160 years ago, the concept of entropy was introduced in thermodynamics by Rudolf Clausius. Since then, it has been continually extended, interpreted, and applied by researchers in many scientific fields, such as general physics, information theory, chaos theory, data mining, and mathematical linguistics. This paper presents The Entropy -
Entropy Analysis of Financial Time Series Arxiv:1807.09423V1 [Q-Fin.ST]
Entropy Analysis of Financial Time Series A thesis submitted to The University of Manchester for the degree of Doctor in Business Administration. 2015 arXiv:1807.09423v1 [q-fin.ST] 25 Jul 2018 Stephan Schwill Manchester Business School Contents 1 Introduction 11 1.1 Bivariate Analysis of Drawdowns . 12 1.2 Information Flows between FX Volatility Regimes . 14 1.3 Volatility Timing of Hedge Funds and Entropy . 16 2 Entropy Measure and Information Theory 19 2.1 Introduction . 20 2.2 Entropy . 20 2.3 Mutual Information and Transfer Entropy . 23 2.3.1 Definition . 23 2.3.2 Entropy Estimation, Statistical Features . 26 2.3.3 Process Entropy . 31 2.3.4 Entropy Magnitude . 32 2.4 Approximate Entropy (ApEn) . 33 2.4.1 ApEn Definition . 33 2.4.2 ApEn Estimation . 36 3 Bivariate Analysis of Drawdowns 38 3.1 Introduction . 39 3.2 Related Literature . 41 3.2.1 Drawdowns Literature . 41 3.2.2 Entropy Econometric Literature . 46 3.3 Data . 48 3.4 Information Theoretic Method . 51 3.4.1 Entropy Measures . 51 3.5 Empirical Results . 57 3.5.1 Dependency between Draws in EUR/USD and GBP/USD . 57 3.5.2 Information Flows between Draws in EUR/USD and GBP/USD 61 3.6 Conclusion . 66 4 Information Flows between FX Volatility Regimes 69 4.1 Introduction . 70 4.2 Hidden Markov Models . 72 4.2.1 Foundations . 72 4.2.2 HMM Estimation . 74 4.3 Data . 77 4.4 HMM Estimation Results . 79 4.5 Dependence between Hidden States . 82 4.5.1 Hidden State Dependence . -
Variability Analysis & Its Applications To
VARIABILITY ANALYSIS & ITS APPLICATIONS TO PHYSIOLOGICAL TIME SERIES DATA by FARHAD KAFFASHI Submitted in partial fulfillment of the requirements For the degree of For the degree of Doctor of Philosophy Dissertation Advisor: Dr. Kenneth A. Loparo Department of Electrical Engineering & Computer Science CASE WESTERN RESERVE UNIVERSITY August 2007 CASE WESTERN RESERVE UNIVERSITY SCHOOL OF GRADUATE STUDIES We hereby approve the dissertation of Farhad Kaffashi candidate for the degree of Doctor of Philosophy * Committee Chair: Dr. Kenneth A. Loparo Thesis Advisor Professor, Department of Electrical Engineering & Computer Science Committee: Dr. Mark S. Scher Professor, Department of Pediatric & Neurology Committee: Dr. Mary Ann Werz Associate Professor, Department of Neurology Committee: Dr. Vira Chankong Associate Professor, Department of Electrical Engineering & Computer Science Committee: Dr. M Cenk C¸avu¸so˘glu Assistant Professor, Department of Electrical Engineering & Computer Science August 2007 *We also certify that written approval has been obtained for any proprietary material contained therein. Table of Contents Table of Contents . iii List of Tables . v List of Figures . vii Acknowledgement . ix Abstract . x 1 Introduction 1 2 Variability Analysis Techniques 4 2.1 Detrended Fluctuation Analysis . 5 2.2 Characterization of Power-Law Behavior Using Change Point Detection 8 2.2.1 Gradient Detection Algorithm . 9 2.2.2 Results . 11 2.2.3 Conclusions . 18 2.3 Approximate & Sample Entropy . 18 2.3.1 Incorporating a Time Delay In The Calculation . 20 2.3.2 Parameter Selection . 21 2.3.3 Parameter Validation . 22 2.3.4 Conclusion . 28 3 Complexity Analysis of Neonatal EEG 29 3.1 Data Collection & Description . -
A Non-Parametric Differential Entropy Rate Estimator Andrew Feutrill and Matthew Roughan, Fellow, IEEE
1 NPD Entropy: A Non-Parametric Differential Entropy Rate Estimator Andrew Feutrill and Matthew Roughan, Fellow, IEEE, Abstract—The estimation of entropy rates for stationary discrete codes for communications. These estimation tech- discrete-valued stochastic processes is a well studied problem niques have been extended to countably infinite alphabets [20], in information theory. However, estimating the entropy rate [28]. However, these approaches cannot be directly applied to for stationary continuous-valued stochastic processes has not received as much attention. In fact, many current techniques are continuous-valued stochastic processes, which are the main not able to accurately estimate or characterise the complexity topic of interest here. of the differential entropy rate for strongly correlated processes, There are approaches that have been designed for estimat- such as Fractional Gaussian Noise and ARFIMA(0,d,0). To the ing the complexity of continuous-valued stochastic processes: point that some cannot even detect the trend of the entropy approximate [27], sample [30] and permutation entropy [2]. rate, e.g., when it increases/decreases, maximum, or asymptotic trends, as a function of their Hurst parameter. However, a re- These estimators have been used in estimating the entropy cently developed technique provides accurate estimates at a high rate for processes, particularly for those that are memoryless computational cost. In this paper, we define a robust technique or have short memory. For example, approximate entropy has for non-parametrically estimating the differential entropy rate been shown to converge to the entropy rate for independent of a continuous valued stochastic process from observed data, and identically distributed processes and first order Markov by making an explicit link between the differential entropy rate and the Shannon entropy rate of a quantised version of the chains in the discrete-valued case [27]. -
On Entropy, Entropy-Like Quantities, and Applications
DISCRETE AND CONTINUOUS doi:10.3934/dcdsb.2015.20.3301 DYNAMICAL SYSTEMS SERIES B Volume 20, Number 10, December 2015 pp. 3301{3343 ON ENTROPY, ENTROPY-LIKE QUANTITIES, AND APPLICATIONS Jose´ M. Amigo´ Centro de Investigaci´onOperativa, Universidad Miguel Hern´andez Avda. de la Universidad s/n 03202 Elche, Spain Karsten Keller Institut f¨urMathematik, Universit¨at zu L¨ubeck Ratzeburger Allee 160 23562 L¨ubeck, Germany Valentina A. Unakafova Graduate School for Computing in Medicine and Life Science Universit¨atzu L¨ubeck, Ratzeburger Allee 160 23562 L¨ubeck, Germany Abstract. This is a review on entropy in various fields of mathematics and science. Its scope is to convey a unified vision of the classical entropies and some newer, related notions to a broad audience with an intermediate back- ground in dynamical systems and ergodic theory. Due to the breadth and depth of the subject, we have opted for a compact exposition whose contents are a compromise between conceptual import and instrumental relevance. The intended technical level and the space limitation born furthermore upon the final selection of the topics, which cover the three items named in the title. Specifically, the first part is devoted to the avatars of entropy in the traditional contexts: many particle physics, information theory, and dynamical systems. This chronological order helps present the materials in a didactic manner. The axiomatic approach will be also considered at this stage to show that, quite remarkably, the essence of entropy can be encapsulated in a few basic prop- erties. Inspired by the classical entropies, further akin quantities have been proposed in the course of time, mostly aimed at specific needs. -
Nonlinear Multiscale Entropy and Recurrence Quantification Analysis
entropy Article Nonlinear Multiscale Entropy and Recurrence Quantification Analysis of Foreign Exchange Markets Efficiency Hongli Niu * and Lin Zhang Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, China; [email protected] * Correspondence: [email protected]; Tel.: +86-10-6233-3404 Received: 30 November 2017; Accepted: 27 December 2017; Published: 31 December 2017 Abstract: The regularity of price fluctuations in exchange rates plays a crucial role in foreign exchange (FX) market dynamics. In this paper, we quantify the multiply irregular fluctuation behaviors of exchange rates in the last 10 years (November 2006–November 2016) of eight world economies with two nonlinear approaches. One is a recently proposed multiscale weighted permutation entropy (MWPE) and another is the typical quantification recurrence analysis (RQA) technique. Furthermore, we utilize the RQA technique to study the different intrinsic mode functions (IMFs) that represents different frequencies and scales of the raw time series via the empirical mode decomposition algorithm. Complexity characteristics of abundance and distinction are obtained in the foreign exchange markets. The empirical results show that JPY/USD (followed by EUR/USD) implies a a higher complexity and indicates relatively higher efficiency of the Japanese FX market, while some economies like South Korea, Hong Kong and China show lower and weaker efficiency of their FX markets. Meanwhile, it is suggested that the financial crisis enhances the market efficiency in the FX markets. Keywords: nonlinear analysis; complexity; exchange rate; MWPE approach; recurrence behaviors 1. Introduction Financial markets are some of the most complex systems that have been existed in human society, which exhibit rich fluctuation behaviors of financial price variations such as the fat tails phenomenon, power law of logarithmic returns and volumes, volatility clustering, multifractality of volatility, etc.