Quantifying the Multiscale Predictability of Financial Time Series by an Information-Theoretic Approach
Making predictions on the dynamics of time series of a system is a very interesting topic. A fundamental prerequisite of this work is to evaluate the predictability of the system over a wide range of time. In this paper, we propose an information-theoretic tool, multiscale entropy difference (MED),...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-07-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/21/7/684 |