How long the singular value decomposed entropy predicts the stock market? - Evidence from the Dow Jones Industrial Average Index
文献类型：期刊论文
| 作者 | Gu, Rongbao1; Shao, Yanmin2 |
| 刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
 |
| 出版日期 | 2016-07-01 |
| 卷号 | 453页码:150-161 |
| 关键词 | Stock market Prediction DCCA Entropy |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2016.02.030 |
| 英文摘要 | In this paper, a new concept of multi-scales singular value decomposition entropy based on DCCA cross correlation analysis is proposed and its predictive power for the Dow Jones Industrial Average Index is studied. Using Granger causality analysis with different time scales, it is found that, the singular value decomposition entropy has predictive power for the Dow Jones Industrial Average Index for period less than one month, but not for more than one month. This shows how long the singular value decomposition entropy predicts the stock market that extends Caraiani's result obtained in Caraiani (2014). On the other hand, the result also shows an essential characteristic of stock market as a chaotic dynamic system. (C) 2016 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[71471081] ; Humanities and Social Science Project of Ministry of Education of China[12YJAZH020] ; Social Science Foundation of Jiangsu Province[15eyb013] ; Priority Academic Program Development of Jiangsu Higher Education Institutions (PAPD) ; Jiangsu Modern Service Institute (PMS) |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000374079000015 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22503]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Gu, Rongbao |
| 作者单位 | 1.Nanjing Univ Finance & Econ, Sch Finance, Nanjing 210046, Jiangsu, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Gu, Rongbao,Shao, Yanmin. How long the singular value decomposed entropy predicts the stock market? - Evidence from the Dow Jones Industrial Average Index[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2016,453:150-161. |
| APA | Gu, Rongbao,&Shao, Yanmin.(2016).How long the singular value decomposed entropy predicts the stock market? - Evidence from the Dow Jones Industrial Average Index.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,453,150-161. |
| MLA | Gu, Rongbao,et al."How long the singular value decomposed entropy predicts the stock market? - Evidence from the Dow Jones Industrial Average Index".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 453(2016):150-161. |
入库方式： OAI收割
来源：数学与系统科学研究院
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