A Novel Framework of Rescaled Range Fractal Analysis and Entropy-Based Indicators: Forecasting Modelling for Stock Market Indices
Expert Systems with Applications(2020)
摘要
•Proposal of multifarious methodology with diverse stages for stock market forecast modelling.•The significance of Hurst exponent and Entropy-based Indicators to attain optimal forecasting.•Hurst exponent as a determining and prominent indicator for stock market indices.•Guidance in volatile and uncertain financial markets characterized by unexpected developments.•Characterizing complexity and self-similarity based on Fractal and Entropy analyses.
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关键词
Hurst exponent,Shannon entropy,Rényi entropy,Artificial neural network,Regression algorithms,Fractal analysis,Complexity and Self-Similarity,Stock indices forecasting
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