How long the singular value decomposed entropy predicts the stock market? - Evidence from the Dow Jones Industrial Average Index

doi:10.1016/j.physa.2016.02.030

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	How long the singular value decomposed entropy predicts the stock market? - Evidence from the Dow Jones Industrial Average Index
	Gu, Rongbao 1; Shao, Yanmin 2
	2016-07-01
发表期刊	PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN	0378-4371
卷号	453 页码:150-161
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.
关键词	Stock market Prediction DCCA Entropy
DOI	10.1016/j.physa.2016.02.030
语种	英语
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
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000374079000015
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22504
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.