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Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
(International Association for Fuzzy-set Management and Economy, 2016-05)
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and ...
Complexity-entropy analysis of daily stream flow time series in the continental United States
(Springer Verlag Berlín, 2013-10)
Complexity–entropy causality plane (CECP) is a diagnostic diagram plotting normalized Shannon entropy HSHS versus Jensen–Shannon complexity CJSCJS that has been introduced in nonlinear dynamics analysis to classify ...
Permutation entropy based time series analysis: Equalities in the input signal can lead to false conclusions
(Elsevier Science, 2017-06)
A symbolic encoding scheme, based on the ordinal relation between the amplitude of neighboring values of a given data sequence, should be implemented before estimating the permutation entropy. Consequently, equalities in ...
Comparing different approaches to compute Permutation Entropy with coarse time series
(Elsevier Science, 2019-01)
Bandt and Pompe introduced Permutation Entropy as a complexity measure and has been widely used in time series analysis and in many fields of nonlinear dynamics. In theory these time series come from a process that generates ...
On the efficiency of sovereign bond markets
(Elsevier Science, 2012-09-15)
The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and ...
Contrasting stochasticity with chaos in a permutation Lempel–Ziv complexity — Shannon entropy plane
(Elsevier, 2020-09)
This paper aims at introducing the Lempel–Ziv permutation complexity vs. permutation entropy plane (EC-plane) as a tool to analyze time series with diverse dynamical nature. These two quantities use the Bandt and Pompe ...
Multiscale permutation entropy analysis of laser beam wandering in isotropic turbulence
(American Physical Society, 2017-10)
We have experimentally quantified the temporal structural diversity from the coordinate fluctuations of a laser beam propagating through isotropic optical turbulence. The main focus here is on the characterization of the ...
Libor at crossroads: stochastic switching detection using Information Theory quantifiers
(Pergamon-Elsevier Science Ltd, 2016-03)
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity–Entropy ...