Multifractality approach of a generalized Shannon index in financial time series
Felipe S. Abril-Bermúdez,
Juan E. Trinidad-Segovia,
Miguel A. Sánchez-Granero
et al.
Abstract:Multifractality is a concept that extends locally the usual ideas of fractality in a system. Nevertheless, the multifractal approaches used lack a multifractal dimension tied to an entropy index like the Shannon index. This paper introduces a generalized Shannon index (GSI) and demonstrates its application in understanding system fluctuations. To this end, traditional multifractality approaches are explained. Then, using the temporal Theil scaling and the diffusive trajectory algorithm, the GSI and its partiti… Show more
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