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Multiscale entropy and asynchronies of percolation-based price model and Chinese stock market

Author

Listed:
  • Hongli Niu

    (School of Economics and Management, University of Science and Technology Beijing, Beijing 100083, P. R. China)

  • Yunfan Lu

    (School of Mathematics, Renmin University of China, Beijing 100872, P. R. China)

Abstract

In recent years, the concept of entropy is widely used to measure the degree of uncertainty or complexity of dynamics system. In our work, we utilize the composite multiscale entropy (CMSE) and the composite multiscale cross-sample entropy (CMSCE) which are two modified algorithms of SampEn and Cross-SampEn by considering multiscale factors, to, respectively, investigate the multiscale complexities and asynchronies (correlations) in the Chinese stock market (SSZ, SZSE and HSI) as well as in our established financial stock price model. The price model is given based on a greatly important statistical physics system, the two-dimensional continuum percolation system. In the model, the fluctuations of stock price changes are assumed to be attributed to the market information interactions among the traders, and the percolation cluster is taken to represent the traders holding the same investment attitude. The empirical CMSE and CMSCE results display and meanwhile make comparisons of abundant complexities and correlations properties about Chinese stock indices and simulation data on both overall and the upwards, downwards trend of their returns.

Suggested Citation

  • Hongli Niu & Yunfan Lu, 2021. "Multiscale entropy and asynchronies of percolation-based price model and Chinese stock market," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 32(06), pages 1-17, June.
    • Handle: RePEc:wsi:ijmpcx:v:32:y:2021:i:06:n:s012918312150073x
    DOI: 10.1142/S012918312150073X
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