Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics
A new concept named volatility monotonous persistence duration (VMPD) dynamics is introduced into the research of energy markets, in an attempt to describe nonlinear fluctuation behaviors from a new perspective. The VMPD sequence unites the maximum fluctuation difference and the continuous variation...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-10-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/21/10/1018 |
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| author | Linlu Jia Jinchuan Ke Jun Wang |
| author_facet | Linlu Jia Jinchuan Ke Jun Wang |
| author_sort | Linlu Jia |
| collection | DOAJ |
| description | A new concept named volatility monotonous persistence duration (VMPD) dynamics is introduced into the research of energy markets, in an attempt to describe nonlinear fluctuation behaviors from a new perspective. The VMPD sequence unites the maximum fluctuation difference and the continuous variation length, which is regarded as a novel indicator to evaluate risks and optimize portfolios. Further, two main aspects of statistical and nonlinear empirical research on the energy VMPD sequence are observed: probability distribution and autocorrelation behavior. Moreover, a new nonlinear method named the cross complexity-invariant distance (CID) FuzzyEn (CCF) which is composed of cross-fuzzy entropy and complexity-invariant distance is firstly proposed to study the complexity synchronization properties of returns and VMPD series for seven representative energy items. We also apply the ensemble empirical mode decomposition (EEMD) to resolve returns and VMPD sequence into the intrinsic mode functions, and the degree that they follow the synchronization features of the initial sequence is investigated. |
| first_indexed | 2024-04-11T12:17:49Z |
| format | Article |
| id | doaj.art-ffff92c1775147c1b96b227195cfd4be |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-11T12:17:49Z |
| publishDate | 2019-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-ffff92c1775147c1b96b227195cfd4be2022-12-22T04:24:12ZengMDPI AGEntropy1099-43002019-10-012110101810.3390/e21101018e21101018Complexity Synchronization of Energy Volatility Monotonous Persistence Duration DynamicsLinlu Jia0Jinchuan Ke1Jun Wang2School of Economics and Management, Beijing Jiaotong University, Beijing 100044, ChinaSchool of Economics and Management, Beijing Jiaotong University, Beijing 100044, ChinaSchool of Economics and Management, Beijing Jiaotong University, Beijing 100044, ChinaA new concept named volatility monotonous persistence duration (VMPD) dynamics is introduced into the research of energy markets, in an attempt to describe nonlinear fluctuation behaviors from a new perspective. The VMPD sequence unites the maximum fluctuation difference and the continuous variation length, which is regarded as a novel indicator to evaluate risks and optimize portfolios. Further, two main aspects of statistical and nonlinear empirical research on the energy VMPD sequence are observed: probability distribution and autocorrelation behavior. Moreover, a new nonlinear method named the cross complexity-invariant distance (CID) FuzzyEn (CCF) which is composed of cross-fuzzy entropy and complexity-invariant distance is firstly proposed to study the complexity synchronization properties of returns and VMPD series for seven representative energy items. We also apply the ensemble empirical mode decomposition (EEMD) to resolve returns and VMPD sequence into the intrinsic mode functions, and the degree that they follow the synchronization features of the initial sequence is investigated.https://www.mdpi.com/1099-4300/21/10/1018volatility monotonous persistence durationstatistical and nonlinear analysiscomplexity synchronizationcross-fuzzy entropycomplexity-invariant distanceensemble empirical mode decomposition |
| spellingShingle | Linlu Jia Jinchuan Ke Jun Wang Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics Entropy volatility monotonous persistence duration statistical and nonlinear analysis complexity synchronization cross-fuzzy entropy complexity-invariant distance ensemble empirical mode decomposition |
| title | Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics |
| title_full | Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics |
| title_fullStr | Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics |
| title_full_unstemmed | Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics |
| title_short | Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics |
| title_sort | complexity synchronization of energy volatility monotonous persistence duration dynamics |
| topic | volatility monotonous persistence duration statistical and nonlinear analysis complexity synchronization cross-fuzzy entropy complexity-invariant distance ensemble empirical mode decomposition |
| url | https://www.mdpi.com/1099-4300/21/10/1018 |
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