The multiscale large deviation spectrum based on higher moments for financial time series-Reference-Cited by-同舟云学术

The multiscale large deviation spectrum based on higher moments for financial time series

Published:2018-06-04 Issue:1 Volume:94 Page:597-613
ISSN:0924-090X
Container-title:Nonlinear Dynamics
language:en
Short-container-title:Nonlinear Dyn

Author:

Chen Shijian^ORCID,Shi Wenbin,Shang Pengjian

Funder

National Natural Science Foundation of China

Beijing National Science

China Postdoctoral Science Foundation

Publisher

Springer Science and Business Media LLC

Subject

Electrical and Electronic Engineering,Applied Mathematics,Mechanical Engineering,Ocean Engineering,Aerospace Engineering,Control and Systems Engineering

Link

http://link.springer.com/article/10.1007/s11071-018-4379-7/fulltext.html

Reference28 articles.

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2. Pham, H.: Large deviations in mathematical finance. In: Third SMAI European Summer School in Financial Mathematics (2010)

3. Yin, Y., Shang, P.J.: Weighted multiscale permutation entropy of financial time series. Nonlinear Dyn. 78, 2921–2939 (2014)

4. Yin, Y., Shang, P.J.: Multifractal cross-correlation analysis of traffic time series based on large deviation estimates. Nonlinear Dyn. 81, 1779–1794 (2015)

5. Xiong, H., Shang, P.J.: Weighted multifractal cross-correlation analysis based on Shannon entropy. Commun. Nonlinear Sci. 30, 268–283 (2016)

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