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Open AccessArticle

Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics

by Linlu Jia 1,2, Jinchuan Ke 1,2 and Jun Wang 1,2,*
1
School of Economics and Management, Beijing Jiaotong University, Beijing 100044, China
2
School of Science, Beijing Jiaotong University, Beijing 100044, China
*
Author to whom correspondence should be addressed.
Entropy 2019, 21(10), 1018; https://doi.org/10.3390/e21101018
Received: 24 September 2019 / Revised: 15 October 2019 / Accepted: 18 October 2019 / Published: 20 October 2019
(This article belongs to the Section Multidisciplinary Applications)
A new concept named volatility monotonous persistence duration (VMPD) dynamics is introduced into the research of energy markets, in an attempt to describe nonlinear fluctuation behaviors from a new perspective. The VMPD sequence unites the maximum fluctuation difference and the continuous variation length, which is regarded as a novel indicator to evaluate risks and optimize portfolios. Further, two main aspects of statistical and nonlinear empirical research on the energy VMPD sequence are observed: probability distribution and autocorrelation behavior. Moreover, a new nonlinear method named the cross complexity-invariant distance (CID) FuzzyEn (CCF) which is composed of cross-fuzzy entropy and complexity-invariant distance is firstly proposed to study the complexity synchronization properties of returns and VMPD series for seven representative energy items. We also apply the ensemble empirical mode decomposition (EEMD) to resolve returns and VMPD sequence into the intrinsic mode functions, and the degree that they follow the synchronization features of the initial sequence is investigated. View Full-Text
Keywords: volatility monotonous persistence duration; statistical and nonlinear analysis; complexity synchronization; cross-fuzzy entropy; complexity-invariant distance; ensemble empirical mode decomposition volatility monotonous persistence duration; statistical and nonlinear analysis; complexity synchronization; cross-fuzzy entropy; complexity-invariant distance; ensemble empirical mode decomposition
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Jia, L.; Ke, J.; Wang, J. Complexity Synchronization of Energy Volatility Monotonous Persistence Duration Dynamics. Entropy 2019, 21, 1018.

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