Fractional Refined Composite Multiscale Fuzzy Entropy of International Stock Indices

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.

Abstract licence: CC BY

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