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Open AccessArticle

Fractional Refined Composite Multiscale Fuzzy Entropy of International Stock Indices

School of Mathematics and Physics, and the Key Laboratory of Advanced Perception and Intelligent Control of High-End Equipment, Ministry of Education, Anhui Polytechnic University, Wuhu 241000, China
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Entropy 2019, 21(9), 914; https://doi.org/10.3390/e21090914
Received: 21 August 2019 / Revised: 13 September 2019 / Accepted: 17 September 2019 / Published: 19 September 2019
(This article belongs to the Special Issue The Fractional View of Complexity)
Fractional refined composite multiscale fuzzy entropy (FRCMFE), which aims to relieve the large fluctuation of fuzzy entropy (FuzzyEn) measure and significantly discriminate different short-term financial time series with noise, is proposed to quantify the complexity dynamics of the international stock indices in the paper. To comprehend the FRCMFE, the complexity analyses of Gaussian white noise with different signal lengths, the random logarithmic returns and volatility series of the international stock indices are comparatively performed with multiscale fuzzy entropy (MFE), composite multiscale fuzzy entropy (CMFE) and refined composite multiscale fuzzy entropy (RCMFE). The empirical results show that the FRCMFE measure outperforms the traditional methods to some extent. View Full-Text
Keywords: multiscale fuzzy entropy; composite multiscale fuzzy entropy; refined composite multiscale fuzzy entropy; fractional refined composite multiscale fuzzy entropy; complexity multiscale fuzzy entropy; composite multiscale fuzzy entropy; refined composite multiscale fuzzy entropy; fractional refined composite multiscale fuzzy entropy; complexity
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Wu, Z.; Zhang, W. Fractional Refined Composite Multiscale Fuzzy Entropy of International Stock Indices. Entropy 2019, 21, 914.

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