基于Pearson相关和多尺度广义香农熵的不确定性测度与金融市场的应用

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2022-10-07 DOI:10.1515/ijnsns-2021-0096
A. Koushki, Mohammad Osoolian, Seyed Jalal Sadeghi Sharif
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引用次数: 1

摘要

在本研究中,我们打算利用Pearson相关和多尺度广义香农熵来同时跟踪固有互信息的转移和类型以及相关结构。找到一个最优的尺度值,以防止过度平滑,导致有用信息的去除。对于由logistic映射生成的周期混沌序列,得到了最小的奇异值分解多尺度广义累积残差熵(SVDMWGCRE)或SVD熵(SVDE);从而正确表征了不同的动态、相关结构和内在互信息。研究发现,新兴市场之间的相互信息具有更高的敏感性,而且新兴市场在被调查市场中表现出最高的不确定性。分数阶对多尺度特征的灵敏度增强具有协同效应。根据logistic图和财务时间序列的结果,可以推断logistic图可以用作财务时间序列。通过此财务模拟,可以在其他领域进行进一步的调查。金融市场的时间演变也进行了调查。尽管结果显示新兴市场的噪声信息较高,但它表明,随着时间的推移,新兴市场的效率越来越高。此外,时间调查显示发达市场和新兴市场之间存在长期滞后和同步阶段。我们还关注了2019冠状病毒病大流行,并比较了发展中市场和新兴市场的反应。可以确定的是,新兴市场对这一流行病表现出更高的不确定性和过度反应。
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An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications
Abstract In this research, we intended to employ the Pearson correlation and a multiscale generalized Shannon-based entropy to trace the transition and type of inherent mutual information as well as correlation structures simultaneously. An optimal value for scale is found to prevent over smoothing, which leads to the removal of useful information. The lowest Singular Value Decomposition Multiscale Generalized Cumulative Residual Entropy (SVDMWGCRE), or SVD Entropy (SVDE), is obtained for periodic–chaotic series, generated by logistic map; hence, the different dynamic, correlation structures, and intrinsic mutual information have been characterized correctly. It is found out that the mutual information between emerging markets entails higher sensitivity, and moreover emerging markets have demonstrated the highest uncertainty among investigated markets. Additionally, the fractional order has synergistic effects on the enhancement of sensitivity with the multiscale feature. According to the logistic map and financial time series results, it can be inferred that the logistic map can be utilized as a financial time series. Further investigations can be performed in other fields through this financial simulation. The temporal evolutions of financial markets are also investigated. Although the results demonstrated higher noisy information for emerging markets, it was illustrated that emerging markets are getting more efficient over time. Additionally, the temporal investigations have demonstrated long-term lag and synchronous phases between developed and emerging markets. We also focused on the COVID-19 pandemic and compared the reactions of developing and emerging markets. It is ascertained that emerging markets have demonstrated higher uncertainty and overreaction to this pandemic.
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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