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• W2224271741 abstract "Abstract This paper generalizes the method of traditional singular value decomposition entropy by incorporating orders q of Renyi entropy. We analyze the predictive power of the entropy based on trajectory matrix using Shanghai Composite Index and Dow Jones Index data in both static test and dynamic test. In the static test on SCI, results of global granger causality tests all turn out to be significant regardless of orders selected. But this entropy fails to show much predictability in American stock market. In the dynamic test, we find that the predictive power can be significantly improved in SCI by our generalized method but not in DJI. This suggests that noises and errors affect SCI more frequently than DJI. In the end, results obtained using different length of sliding window also corroborate this finding." @default.
• W2224271741 created "2016-06-24" @default.
• W2224271741 creator A5010054668 @default.
• W2224271741 creator A5028809106 @default.
• W2224271741 date "2016-04-01" @default.
• W2224271741 modified "2023-09-29" @default.
• W2224271741 title "Using Rényi parameter to improve the predictive power of singular value decomposition entropy on stock market" @default.
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• W2224271741 doi "https://doi.org/10.1016/j.physa.2015.12.070" @default.
• W2224271741 hasPublicationYear "2016" @default.
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